Summary of All Sessions |
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Click here for an index of all participants |
| Session ID code | Date/Time | Location | Title | Papers | Organizer |
|---|---|---|---|---|---|
| 81 | June 20, 2015 8:30-10:00 | Room 201 | A1 Macro Labor | 4 | Francesco Furlanetto |
| 14 | June 20, 2015 8:30-10:00 | Room 202 | A2 Modelling Financial Stress | 4 | Gary Anderson |
| 32 | June 20, 2015 8:30-10:00 | Room 203 | A3 Agent-based Modeling: Finance and Macroeconomy | 4 | Mikhail Anufriev |
| 26 | June 20, 2015 8:30-10:00 | Room 204 | A4 Monetary Policy, Uncertainty, and the Zero Lower Bound | 4 | Thomas Lubik |
| 34 | June 20, 2015 8:30-10:00 | Room 205 | A5 Complex Financial Networks | 4 | Wei-Xing Zhou |
| 86 | June 20, 2015 8:30-10:00 | Room 101 | A6 Empirical Finance I | 4 | Carl Chiarella |
| 54 | June 20, 2015 8:30-10:00 | Room 103 | A7 Labor Search and Economic Growth | 4 | Been-Lon Chen |
| 82 | June 20, 2015 10:20-11:50 | Room 201 | B1 Open-Macro and Energy | 3 | Francesco Furlanetto |
| 16 | June 20, 2015 10:20-11:50 | Room 202 | B2 Nonlinear Solution Methods I | 4 | Gary Anderson |
| 33 | June 20, 2015 10:20-11:50 | Room 203 | B3 Modeling Economic Networks | 4 | Mikhail Anufriev |
| 27 | June 20, 2015 10:20-11:50 | Room 204 | B4 Monetary Policy: Theory and Practice | 4 | Thomas Lubik |
| 37 | June 20, 2015 10:20-11:50 | Room 205 | B5 Econophysics I | 4 | Wei-Xing Zhou |
| 87 | June 20, 2015 10:20-11:50 | Room 101 | B6 Empirical Finance II | 4 | Carl Chiarella |
| 55 | June 20, 2015 10:20-11:50 | Room 103 | B7 Optimal Taxes and Debt | 4 | Been-Lon Chen |
| 83 | June 20, 2015 12:40-14:10 | Room 201 | C1 Monetary and Fiscal Policy | 4 | Francesco Furlanetto |
| 15 | June 20, 2015 12:40-14:10 | Room 202 | C2 Nonlinear Solution Methods II | 3 | Gary Anderson |
| 79 | June 20, 2015 12:40-14:10 | Room 203 | C3 Agent-based Modeling of Business Cycles | 4 | Jasmina Arifovic |
| 28 | June 20, 2015 12:40-14:10 | Room 204 | C4 Search in the Labor Market and Employment Outcomes | 4 | Thomas Lubik |
| 35 | June 20, 2015 12:40-14:10 | Room 205 | C5 Econophysics II | 4 | Wei-Xing Zhou |
| 88 | June 20, 2015 12:40-14:10 | Room 101 | C6 Financial Markets and Heterogeneity | 3 | Carl Chiarella |
| 56 | June 20, 2015 12:40-14:10 | Room 103 | C7 Financial and Monetary Policies | 4 | Been-Lon Chen |
| 69 | June 20, 2015 15:30-17:00 | Room 201 | D1 Solving Dynamic Economic Models I | 3 | Peter Zadrozny |
| 17 | June 20, 2015 15:30-17:00 | Room 202 | D2 Heterogeneous Agents | 4 | Gary Anderson |
| 94 | June 20, 2015 15:30-17:00 | Room 203 | D3 Productivity, Growth and Business Cycles | 4 | Shu-Heng Chen |
| 29 | June 20, 2015 15:30-17:00 | Room 204 | D4 Business Cycles in Small Open Economies: Theory and Empirics | 4 | Thomas Lubik |
| 36 | June 20, 2015 15:30-17:00 | Room 205 | D5 Microstructure and Investor Behavior | 4 | Wei-Xing Zhou |
| 89 | June 20, 2015 15:30-17:00 | Room 101 | D6 Volatility and Finance | 4 | Carl Chiarella |
| 50 | June 20, 2015 15:30-17:00 | Room 103 | D7 Agent-based Models: Empirical Regularities and Economic Policy | 4 | Thomas Lux |
| 84 | June 20, 2015 15:30-17:00 | Convention Hall | D8 Macrofinance | 3 | Francesco Furlanetto |
| 70 | June 21, 2015 8:00-9:30 | Room 201 | E1 Time Series Econometrics | 4 | Peter Zadrozny |
| 18 | June 21, 2015 8:00-9:30 | Room 202 | E2 Modeling Stock and Energy Prices | 4 | Gary Anderson |
| 43 | June 21, 2015 8:00-9:30 | Room 203 | E3 Agent-based Macro Models I | 4 | Cars Hommes |
| 30 | June 21, 2015 8:00-9:30 | Room 204 | E4 TVP-VARs: Challenges and New Developments | 3 | Thomas Lubik |
| 38 | June 21, 2015 8:00-9:30 | Room 205 | E5 Econophysics III | 4 | Wei-Xing Zhou |
| 91 | June 21, 2015 8:00-9:30 | Room 101 | E6 Risk, Investment and Banking | 4 | Carl Chiarella |
| 58 | June 21, 2015 8:00-9:30 | Room 103 | E7 Housing Dynamics and Economic Growth | 4 | Been-Lon Chen |
| 85 | June 21, 2015 8:00-9:30 | Convention Hall | E8 Open Economy Macroeconomics | 4 | Francesco Furlanetto |
| 21 | June 21, 2015 11:00-12:30 | Room 201 | F1 Exchange Rates, Spreads, and Asset Pricing | 4 | Kevin Lansing |
| 74 | June 21, 2015 11:00-12:30 | Room 202 | F2 Measuring Risks in Financial Assets | 4 | Francesco Ravazzolo |
| 44 | June 21, 2015 11:00-12:30 | Room 203 | F3 Agent-based Macro Models II | 4 | Cars Hommes |
| 31 | June 21, 2015 11:00-12:30 | Room 204 | F4 Empirical Trade Models | 3 | Thomas Lubik |
| 39 | June 21, 2015 11:00-12:30 | Room 205 | F5 Experimental Study of Learning and Searching Behavior | 3 | Chung-Ching Tai |
| 92 | June 21, 2015 11:00-12:30 | Room 101 | F6 Valuation and Pricing | 4 | Carl Chiarella |
| 59 | June 21, 2015 11:00-12:30 | Room 103 | F7 Population, Health and Social Security | 4 | Been-Lon Chen |
| 22 | June 21, 2015 13:30-15:00 | Room 201 | G1 Monetary Policy I | 4 | Kevin Lansing |
| 75 | June 21, 2015 13:30-15:00 | Room 202 | G2 Econometrics I | 4 | Francesco Ravazzolo |
| 45 | June 21, 2015 13:30-15:00 | Room 203 | G3 Laboratory Experiments | 4 | Cars Hommes |
| 42 | June 21, 2015 13:30-15:00 | Room 204 | G4 Sources of Business Cycles: A Euro Area Perspective | 4 | Thomas Lubik |
| 40 | June 21, 2015 13:30-15:00 | Room 205 | G5 Asset Market Experiments with Human Subjects | 3 | Chung-Ching Tai |
| 64 | June 21, 2015 13:30-15:00 | Room 101 | G6 Dynamics of Limit Order Markets | 4 | Xue-Zhong He |
| 51 | June 21, 2015 13:30-15:00 | Room 103 | G7 Agent-based Modeling I | 4 | Akira Namatame |
| 23 | June 21, 2015 15:20-16:50 | Room 201 | H1 Fiscal Policy and Production | 4 | Kevin Lansing |
| 76 | June 21, 2015 15:20-16:50 | Room 202 | H2 Econometrics II | 4 | Francesco Ravazzolo |
| 46 | June 21, 2015 15:20-16:50 | Room 203 | H3 Expectations and Learning | 4 | Cars Hommes |
| 60 | June 21, 2015 15:20-16:50 | Room 204 | H4 Macrodynamics of Inequality in Closed and Open Economies | 4 | Paul McNelis |
| 41 | June 21, 2015 15:20-16:50 | Room 205 | H5 Intention, Reciprocity, and Motivation: Evidence from the Lab | 3 | Chung-Ching Tai |
| 65 | June 21, 2015 15:20-16:50 | Room 101 | H6 Asset Pricing and Portfolio Optimization: Heterogeneous Beliefs | 4 | Xue-Zhong He |
| 52 | June 21, 2015 15:20-16:50 | Room 103 | H7 Agent-based Modeling II | 4 | Akira Namatame |
| 78 | June 22, 2015 8:00-9:30 | Room 201 | I1 Solving Dynamic Economic Models II | 3 | Peter Zadrozny |
| 71 | June 22, 2015 8:00-9:30 | Room 202 | I2 Empirical Macroeconomics I | 4 | Michel Juillard |
| 47 | June 22, 2015 8:00-9:30 | Room 203 | I3 Agent-based Models of Finance I | 4 | Cars Hommes |
| 61 | June 22, 2015 8:00-9:30 | Room 204 | I4 Reform and Pricing Dynamics | 4 | Paul McNelis |
| 2 | June 22, 2015 8:00-9:30 | Room 205 | I5 Nonlinear and Machine Learning Methods in Finance | 4 | Germán Creamer |
| 66 | June 22, 2015 8:00-9:30 | Room 101 | I6 Asset Pricing and Portfolio Optimization: Optimal Strategies | 4 | Xue-Zhong He |
| 53 | June 22, 2015 8:00-9:30 | Room 103 | I7 Agent-based Modeling III | 4 | Akira Namatame |
| 24 | June 22, 2015 8:00-9:30 | Conference Room | I8 House Prices, Mortgage Debt, and Consumer Credit | 4 | Kevin Lansing |
| 25 | June 22, 2015 11:00-12:30 | Room 201 | J1 Information Frictions and Monetary Policy | 4 | Kenneth Kasa |
| 72 | June 22, 2015 11:00-12:30 | Room 202 | J2 Labor Market and Business Cycle | 4 | Michel Juillard |
| 48 | June 22, 2015 11:00-12:30 | Room 203 | J3 Agent-based Models of Finance II | 4 | Cars Hommes |
| 62 | June 22, 2015 11:00-12:30 | Room 204 | J4 Monetary Policy II | 4 | Paul McNelis |
| 77 | June 22, 2015 11:00-12:30 | Room 205 | J5 Banks, Monetary Policy and Pass-Through | 4 | Robert Tetlow |
| 67 | June 22, 2015 11:00-12:30 | Room 101 | J6 Asset Pricing and Portfolio Optimization: Market Stability and Liquidity | 4 | Xue-Zhong He |
| 57 | June 22, 2015 11:00-12:30 | Room 103 | J7 Indeterminacy and Stability | 4 | Been-Lon Chen |
| 90 | June 22, 2015 13:30-15:00 | Room 201 | K1 Monetary Policy in Closed and Open Economies | 4 | Robert Tetlow |
| 73 | June 22, 2015 13:30-15:00 | Room 202 | K2 Empirical Macroeconomics II | 4 | Michel Juillard |
| 80 | June 22, 2015 13:30-15:00 | Room 203 | K3 Computational Social Sciences | 4 | Shu-Heng Chen |
| 63 | June 22, 2015 13:30-15:00 | Room 204 | K4 Macrodynamic Models | 4 | Paul McNelis |
| 93 | June 22, 2015 13:30-15:00 | Room 205 | K5 Computational Methods | 3 | Wei Zhang |
| 68 | June 22, 2015 13:30-15:00 | Room 101 | K6 Asset Pricing and Portfolio Optimization: Empirical Asset Pricing | 4 | Xue-Zhong He |
| 49 | June 22, 2015 13:30-15:00 | Room 103 | K7 Agent-based Models: Simulation, Calibration and Estimation | 4 | Thomas Lux |
80 sessions, 308 papers, and 0 presentations with no associated papers |
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Society for Computational Economics - Computing in Economics and Finance, 2015 |
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Detailed List of Sessions |
| Session ID 81: A1 Macro Labor June 20, 2015 8:30 to 10:00 Room 201 |
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| Session Organizer: Francesco Furlanetto, Norges Bank |
| Session Chair: Ioana Moldovan, University of Glasgow |
| Labor Supply Factors and Economic Fluctuations |
| By Claudia Foroni; Norges Bank Francesco Furlanetto; Norges Bank Antoine Lepetit; Paris 1 - Paris School of Economics |
| Presented by: Francesco Furlanetto, Norges Bank |
| Endogenous Separations, Wage Rigidities and Employment Volatility |
| By Mikael Carlsson; Uppsala University Andreas Westermark; Sveriges Riksbank |
| Presented by: Andreas Westermark, Sveriges Riksbank |
| Remittances, Entrepreneurship and Employment Dynamics over the Business Cycle |
| By Alan Finkelstein Shapiro; Universidad de los Andes, Colombia Federico Mandelman; Federal Reserve Bank of Atlanta |
| Presented by: Federico Mandelman, Federal Reserve Bank of Atlanta |
| Stabilisation Policy in a New Keynesian Model with Job Search, Skills Erosion and Growth Effects |
| By Campbell Leith; University of Glasgow Ioana Moldovan; University of Glasgow Simon Wren-Lewis; University of Oxford |
| Presented by: Ioana Moldovan, University of Glasgow |
| Session ID 14: A2 Modelling Financial Stress June 20, 2015 8:30 to 10:00 Room 202 |
| Session Organizer: Gary Anderson, Board of Governors, Federal Reserve |
| Session Chair: Gary Anderson, Board of Governors, Federal Reserve |
| A New Estimation Technique of Sovereign Default Risk |
| By Mehmet Soytas; Ozyegin University Engin Volkan; Istanbul Bilgi University |
| Presented by: Engin Volkan, Istanbul Bilgi University |
| Rare Disasters on Financial Markets and Policy Responses |
| By Daeyup Lee; Bank of Korea |
| Presented by: Daeyup Lee, Bank of Korea |
| Financial Stability and Optimal Interest-Rate Policy |
| By Andrea Ajello; Board of Governors of the Federal Reserv Thomas Laubach; Federal Reserve Board J. David Lopez-Salido; Federal Reserve Board Taisuke Nakata; Federal Reserve Board |
| Presented by: Andrea Ajello, Board of Governors of the Federal Reserv |
| Financial System Stress: From Empirical Validity to Theoretical Foundations |
| By Mikhail Oet; Case Western Reserve University, Federal Reserve Bank of Cleveland John Dooley; Federal Reserve Bank of Cleveland |
| Presented by: Mikhail Oet, Case Western Reserve University, Federal Reserve Bank of Cleveland |
| Session ID 32: A3 Agent-based Modeling: Finance and Macroeconomy June 20, 2015 8:30 to 10:00 Room 203 |
| Session Organizer: Mikhail Anufriev, University of Technology Sydney |
| Session Chair: Ryuichi Yamamoto, Waseda University |
| The Spatial Allocation of Renewable Power Infrastructure: An Economic Assessment of Energy Landscapes with an Agent-based Modelling Approach |
| By Thomas Lauf; UFZ - Centre for Environmental Research |
| Presented by: Thomas Lauf, UFZ - Centre for Environmental Research |
| Inequality, Household Debt and Financial Instability: An Agent-Based Perspective |
| By Alberto Cardaci; Lombardy Advanced School of Economic Research - L.A.S.E.R. |
| Presented by: Alberto Cardaci, Lombardy Advanced School of Economic Research - L.A.S.E.R. |
| Finance-Growth Relationship: Virtuous and Dis-Virtuous Cycles Theory and Empirical Evidence |
| By Eliana Lauretta; University of Birmingham Jane Binner; University of Birmingham Logan Kelly; University of Wisconsin - River Falls Sajid Chaudhry; Swansea University |
| Presented by: Eliana Lauretta, University of Birmingham |
| The Impact of High-Frequency Trading on Market Euality |
| By Ryuichi Yamamoto; Waseda University |
| Presented by: Ryuichi Yamamoto, Waseda University |
| Session ID 26: A4 Monetary Policy, Uncertainty, and the Zero Lower Bound June 20, 2015 8:30 to 10:00 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Nathaniel Throckmorton, College of William & Mary |
| The Effects of Monetary Policy Announcements at the Zero Lower Bound |
| By Natsuki Arai; National Chengchi University |
| Presented by: Natsuki Arai, National Chengchi University |
| Heterogeneity in the Dynamic Effects of Uncertainty on Investment |
| By Sungje Byun; University of California, San Diego Soojin Jo; Bank of Canada |
| Presented by: Soojin Jo, Bank of Canada |
| Macroeconomic Uncertainty and its Impact on Real Activity: Investigating Two Different Measures of Uncertainty |
| By Seohyun Lee; UCL |
| Presented by: Seohyun Lee, UCL |
| The Zero Lower Bound and Endogenous Uncertainty |
| By Michael Plante; Federal Reserve Bank of Dallas Alexander Richter; Auburn University Nathaniel Throckmorton; College of William & Mary |
| Presented by: Nathaniel Throckmorton, College of William & Mary |
| Session ID 34: A5 Complex Financial Networks June 20, 2015 8:30 to 10:00 Room 205 |
| Session Organizer: Wei-Xing Zhou, East China University of Science and Technology |
| Session Chair: Jae Woo Lee, Inha University |
| Complex Networks for Central Banks: An Empirical Analysis of the United Kingdom’s Consumer Price Index |
| By Periklis Gogas; Democritus University of Thrace Theophilos Papadimitriou; Democritus University of Thrace Georgios Sarantitis; Democritus University of Thrace |
| Presented by: Georgios Sarantitis, Democritus University of Thrace |
| The Ability of Securities Market Network to Prevent Systemic Risk |
| By Gang-Jin Wang; Hunan University |
| Presented by: Gang-Jin Wang, Hunan University |
| Six Degrees of Separation on Global Inter-Firm Relationships |
| By Takayuki Mizuno |
| Presented by: Takayuki Mizuno, |
| Speculative Attraction Network as Anatomy Before Large Financial Sell-offs: Empirical Study from Chinese Stock Markets |
| By Li Lin; ECUST |
| Presented by: Li Lin, ECUST |
| Session ID 86: A6 Empirical Finance I June 20, 2015 8:30 to 10:00 Room 101 |
| Session Organizer: Carl Chiarella, University of Technology Sydney |
| Session Chair: José Da Fonseca, Auckland University of Technology |
| Hedge Fund Performance Persistence over Different Market Conditions: Only Winners in Tough Times Repeat |
| By Zheng Sun; University of California, Irvine Ashley Wang; Board of Governors of the Federal Reserv Lu Zheng; university of california, irvine |
| Presented by: Ashley Wang, Board of Governors of the Federal Reserv |
| An Investigation on the Magnitude of Time-Varying and Quantile-Varying Relationship Between Price and Trading Volume: V-type or Increasing-type Pattern |
| [slides] |
| By Kuang-Liang Chang; National Chiayi University, Taiwan |
| Presented by: Kuang-Liang Chang, National Chiayi University, Taiwan |
| Shock Transfer by Arbitrage Trading and the Role of Circuit Breakers |
| By Takuma Torii; The University of Tokyo Kiyoshi Izumi; The University of Tokyo Kenta Yamada; The University of Tokyo |
| Presented by: Takuma Torii, The University of Tokyo |
| Options on Leveraged ETF: Calibrations and Error Analysis |
| By José Da Fonseca; Auckland University of Technology Yahua Xu; Auckland Univeristy of Technology |
| Presented by: José Da Fonseca, Auckland University of Technology |
| Session ID 54: A7 Labor Search and Economic Growth June 20, 2015 8:30 to 10:00 Room 103 |
| Session Organizer: Been-Lon Chen, Academia Sinica |
| Session Chair: Lei Fang, Federal Reserve Bank of Atlanta |
| Labor Force and Relationship Between Long-run Growth and Unemployment |
| [slides] |
| By Been-Lon Chen; Academia Sinica Mei Hsu; National Taiwan Normal University Chih-Fang Lai; Academia Sinica |
| Presented by: Been-Lon Chen, Academia Sinica |
| The Impact of Uncertainty Shocks on the Job-Finding Rate and Separation Rate |
| By Markus Riegler; LSE |
| Presented by: Markus Riegler, LSE |
| Layoff Taxes, Unemployment Insurance, and Business Cycle Fluctuations |
| By Steffen Ahrens; Technische Universität Berlin Philipp Pfeiffer; Technische Universität Berlin |
| Presented by: Steffen Ahrens, Technische Universität Berlin |
| Human Capital Dynamics and the U.S. Labor Market |
| By Lei Fang; Federal Reserve Bank of Atlanta Jun Nie; Federal Reserve Bank of Kansas City |
| Presented by: Lei Fang, Federal Reserve Bank of Atlanta |
| Session ID 82: B1 Open-Macro and Energy June 20, 2015 10:20 to 11:50 Room 201 |
| Session Organizer: Francesco Furlanetto, Norges Bank |
| Session Chair: Drago Bergholt, Norges Bank |
| Notes on the Underground: Monetary Policy in Resource-Rich Economies |
| By Andrea Ferrero; University of Oxford Martin Seneca; Bank of England |
| Presented by: Martin Seneca, Bank of England |
| Green Policies, Energy Efficiency and Vintage Effects |
| By Giuseppe Fiori; North Carolina State University |
| Presented by: Giuseppe Fiori, North Carolina State University |
| Oil Exports and the Reallocation Effects of Terms of Trade Fluctuations |
| By Drago Bergholt; Norges Bank Martin Seneca; Bank of England |
| Presented by: Drago Bergholt, Norges Bank |
| Session ID 16: B2 Nonlinear Solution Methods I June 20, 2015 10:20 to 11:50 Room 202 |
| Session Organizer: Gary Anderson, Board of Governors, Federal Reserve |
| Session Chair: Gary Anderson, Board of Governors, Federal Reserve |
| Extended-path Algorithms in Dynare |
| By Michel Juillard; Banque de France |
| Presented by: Michel Juillard, Banque de France |
| Probability Perturbations |
| By Koen Vermeylen; University of Amsterdam |
| Presented by: Koen Vermeylen, University of Amsterdam |
| A Solution Strategy for Occasionally Binding Constraints in Otherwise Linear Rational Expectations Models |
| [slides] |
| By Gary Anderson; Board of Governors, Federal Reserve |
| Presented by: Gary Anderson, Board of Governors, Federal Reserve |
| Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate |
| By Kenneth Judd; Hoover Institution Lilia Maliar; Stanford University Serguei Maliar; Santa Clara University |
| Presented by: Lilia Maliar, Stanford University |
| Session ID 33: B3 Modeling Economic Networks June 20, 2015 10:20 to 11:50 Room 203 |
| Session Organizer: Mikhail Anufriev, University of Technology Sydney |
| Session Chair: David Goldbaum, University of Technology Sydney |
| Endogenous Network Topology in the Interbank Lending Market |
| By Mikhail Anufriev; University of Technology Sydney Andrea Deghi; Università degli Studi di Siena Valentyn Panchenko; UNSW Paolo Pin; Università degli Studi di Siena |
| Presented by: Valentyn Panchenko, UNSW |
| Additive Model with Endogenous Network Formation |
| [slides] |
| By Julian TszKin Chan; Boston University |
| Presented by: Julian TszKin Chan, Boston University |
| Aggregation Problem in the DSGE Model |
| By Lian-Sheng Yang; Nanjing University of Science and Technology Chia-Ling Chang; NCCU Yi-Heng Tseng; Yuan Ze University, Taiwan |
| Presented by: Lian-Sheng Yang, Nanjing University of Science and Technology |
| Emergent Coordination Among Competitors |
| By David Goldbaum; University of Technology Sydney AJ Bostian |
| Presented by: David Goldbaum, University of Technology Sydney |
| Session ID 27: B4 Monetary Policy: Theory and Practice June 20, 2015 10:20 to 11:50 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Julio Carrillo, Banco de Mexico |
| Transparency, Expectations Anchoring and the Inflation Target |
| By Guido Ascari; University of Oxford Anna Florio; Politecnico di milano Alessandro Gobbi; Università Cattolica del Sacro Cuore |
| Presented by: Alessandro Gobbi, Università Cattolica del Sacro Cuore |
| Did the U.S. Phillips Curve Tradeoff Change? |
| By Benjamin Wong; Reserve Bank of New Zealand |
| Presented by: Benjamin Wong, Reserve Bank of New Zealand |
| Monetary Policy as an Optimum Currency Area Criterion |
| By Dominik Groll; Kiel Institute for the World Economy |
| Presented by: Dominik Groll, Kiel Institute for the World Economy |
| Identification of a Monetary Policy Shock in a Small Open Economy |
| By Rocio Elizondo; Banco de Mexico Julio Carrillo; Banco de Mexico |
| Presented by: Julio Carrillo, Banco de Mexico |
| Session ID 37: B5 Econophysics I June 20, 2015 10:20 to 11:50 Room 205 |
| Session Organizer: Wei-Xing Zhou, East China University of Science and Technology |
| Session Chair: Wei-Xing Zhou, East China University of Science and Technology |
| Detrended Fluctuation Analysis as a Regression Framework: Estimating Dependence at Different Scales |
| By Ladislav Kristoufek; Czech Academy of Sciences |
| Presented by: Ladislav Kristoufek, Czech Academy of Sciences |
| Stability and Group Dynamics of the World Stock Indices |
| By Jae Woo Lee; Inha University |
| Presented by: Jae Woo Lee, Inha University |
| Anomalous Variance Scaling in High Frequency Financial Data |
| By Noemi Nava; University College London Tiziana Di Matteo; King's College London Tomaso Aste; University College London |
| Presented by: Noemi Nava, University College London |
| Financial Systemic Risk Based on Liquidity Dynamic Allocation in Interbank Network |
| By Han Fu; Beijing Normal University zhongjin Li; Beijing Normal University Honggang Li; Beijing Normal University |
| Presented by: Honggang Li, Beijing Normal University |
| Session ID 87: B6 Empirical Finance II June 20, 2015 10:20 to 11:50 Room 101 |
| Session Organizer: Carl Chiarella, University of Technology Sydney |
| Session Chair: Yuet-Yee Linda Wong, |
| Modelling Range Data using CARR Models in Finance |
| By Jennifer Chan; The University of Sydney Kok Haur Ng; University of Malaya Kooi Huat Ng; Universiti Tunku Abdul Rahman Shelton Peiris; The University of Sydney |
| Presented by: Kok Haur Ng, University of Malaya |
| Insurance-Growth Nexus: Evidence from Cross Country Panel Data |
| By Rudra Pradhan; VGSOM |
| Presented by: Rudra Pradhan, VGSOM |
| Forecasting Emerging Market Yield Spreads |
| By Alena Audzeyeva; Keele University Ana-Maria Fuertes; Cass Business School, City University London |
| Presented by: Alena Audzeyeva, Keele University |
| Dynamic Venture Capital Funding Duration with Entrepreneur- and Capitalist-Specific Effects |
| By Yuet-Yee Linda Wong |
| Presented by: Yuet-Yee Linda Wong, |
| Session ID 55: B7 Optimal Taxes and Debt June 20, 2015 10:20 to 11:50 Room 103 |
| Session Organizer: Been-Lon Chen, Academia Sinica |
| Session Chair: Shuhei Takahashi, Kyoto University |
| Dynamic Mirrleesian Taxation with Capital-Skill Complementarity |
| By Yi-Chan Tsai; National Taiwan University C.C. Yang; Academia Sinica Hsin-Jung Yu; National Taiwan University |
| Presented by: Hsin-Jung Yu, National Taiwan University |
| Optimal Capital Income Taxes in a Representative-agent Model with Progressive Tax Schedules |
| By Been-Lon Chen; Academia Sinica Chih-Fang Lai; Academia Sinica |
| Presented by: Chih-Fang Lai, Academia Sinica |
| Optimal Time-Consistent Monetary, Fiscal and Debt Maturity Policy |
| By Eric Leeper; Indiana University Campbell Leith; University of Glasgow Ding Liu; University of Glasgow |
| Presented by: Ding Liu, University of Glasgow |
| The Optimum Quantity of Debt for Japan |
| By Tomoyuki Nakajima; Kyoto University Shuhei Takahashi; Kyoto University |
| Presented by: Shuhei Takahashi, Kyoto University |
| Session ID 83: C1 Monetary and Fiscal Policy June 20, 2015 12:40 to 14:10 Room 201 |
| Session Organizer: Francesco Furlanetto, Norges Bank |
| Session Chair: Alessandro Cantelmo, City University London |
| Monetary and Fiscal Policy Interactions with Debt Dynamics |
| By Luisa Lambertini; EPFL |
| Presented by: Luisa Lambertini, EPFL |
| Aging and Deflation from a Fiscal Perspective |
| By Kozo Ueda; Waseda University |
| Presented by: Kozo Ueda, Waseda University |
| Banks' Price Setting and Lending Maturity: Evidence from an Inflation-Targeting Economy |
| By Emiliano Luttini; Banco Central de Chile Michael Pedersen; Central Bank of Chile |
| Presented by: Michael Pedersen, Central Bank of Chile |
| Monetary Policy and the Relative Price of Durable Goods |
| By Alessandro Cantelmo; City University London Giovanni Melina; City University London |
| Presented by: Alessandro Cantelmo, City University London |
| Session ID 15: C2 Nonlinear Solution Methods II June 20, 2015 12:40 to 14:10 Room 202 |
| Session Organizer: Gary Anderson, Board of Governors, Federal Reserve |
| Session Chair: Gary Anderson, Board of Governors, Federal Reserve |
| Efficient Perturbation Methods for Solving Switching DSGE Models |
| By Junior Maih; Norges Bank |
| Presented by: Junior Maih, Norges Bank |
| Finite-length Patents and Functional Differential Equations in a Non-scale R&D-based Growth Model |
| By Hwan C. Lin; University of North Carolina at Charlotte Larry Shampine; Southern Methodist University |
| Presented by: Hwan C. Lin, University of North Carolina at Charlotte |
| Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs |
| By Samuel Palmer; University college London |
| Presented by: Samuel Palmer, University college London |
| Session ID 79: C3 Agent-based Modeling of Business Cycles June 20, 2015 12:40 to 14:10 Room 203 |
| Session Organizer: Jasmina Arifovic, Simon Fraser University |
| Session Chair: Jie Wu, Guangzhou Milestone Software Co. Ltd. |
| Cyclicality of Wage Structure and Vintage-Capital-Skill Complementarity |
| By Gonzalo Castex; Central Bank of Chile Evgenia Dechter; University of New South Wales |
| Presented by: Gonzalo Castex, Central Bank of Chile |
| A Heterogeneous Agent-Based Implementation of Business Cycles in a Barter Economy |
| By Shyam Gouri Suresh; Davidson College |
| Presented by: Shyam Gouri Suresh, Davidson College |
| Stabilization Policies and Long Term Growth: Policy Implications from an Agent-based Macroeconomic Model |
| By Philipp Harting; Bielefeld University |
| Presented by: Philipp Harting, Bielefeld University |
| Construction and Application of an ACE Model Based on Classical Economics |
| [slides] |
| By Jie Wu; Guangzhou Milestone Software Co. Ltd. Xue-Feng Yuan; National Supercomputer Centre in Guangzhou Guocheng Wang; Chinese Academy of Social Sciences (CASS Zili Wu; Guangzhou Milestone Software Co. Ltd. |
| Presented by: Jie Wu, Guangzhou Milestone Software Co. Ltd. |
| Session ID 28: C4 Search in the Labor Market and Employment Outcomes June 20, 2015 12:40 to 14:10 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Jan Duras, Penn State University |
| Search with Wage Posting Under Sticky Prices |
| By Andrew Foerster; Federal Reserve Bank of Kansas City Jose Mustre-del-Rio; Federal Reserve Bank of Kansas City |
| Presented by: Andrew Foerster, Federal Reserve Bank of Kansas City |
| Search by Firms and Labor Market Outcomes |
| By Gonul Sengul; Central Bank of Turkey |
| Presented by: Gonul Sengul, Central Bank of Turkey |
| Employment Duration over the Business Cycle: Quits vs. Firings |
| By Ismail Baydur; ADA University Toshihiko Mukoyama; University of Virginia |
| Presented by: Ismail Baydur, ADA University |
| A Search Model of Unemployment and Inventories |
| By Jan Duras; Penn State University |
| Presented by: Jan Duras, Penn State University |
| Session ID 35: C5 Econophysics II June 20, 2015 12:40 to 14:10 Room 205 |
| Session Organizer: Wei-Xing Zhou, East China University of Science and Technology |
| Session Chair: Ladislav Kristoufek, Czech Academy of Sciences |
| Can Empirical Mode Decomposition Differentiate Between Market Events Caused by High-Frequency Traders and Market Events Caused by Long-Term Investors? Testing Artificial Price Time Series Generated by a Toy Stock Market Model |
| By Siew Ann Cheong; Nanyang Technological University |
| Presented by: Siew Ann Cheong, Nanyang Technological University |
| Dynamic Evolution of Cross-Correlations in the Chinese Stock Market |
| By Fei Ren; East China University of Science and Tec |
| Presented by: Fei Ren, East China University of Science and Tec |
| Supervision of Banking Networks Using Multivariate Threshold-Minimum Dominating Set (T-MDS) |
| By Periklis Gogas; Democritus University of Thrace Maria Matthaiou; Democritus University of Thrace Theophilos Papadimitriou; Democritus University of Thrace Benjamin Tabak; Universidade Católica de Brasília |
| Presented by: Maria Matthaiou, Democritus University of Thrace |
| Investor Sentiment and Excess Comovement of Chinese Stock Market |
| By Simone Alfarano; University Jaume I Dehua Shen; Department of Economics, Universitat Jaume I, Castellón, Spain Andrea Teglio; Universitat Jaume I Wei Zhang; Tianjin University |
| Presented by: Dehua Shen, Department of Economics, Universitat Jaume I, Castellón, Spain |
| Session ID 88: C6 Financial Markets and Heterogeneity June 20, 2015 12:40 to 14:10 Room 101 |
| Session Organizer: Carl Chiarella, University of Technology Sydney |
| Session Chair: Corrado Di Guilmi, University Technology Sydney |
| The Network of Dependencies in the Global Stock Market |
| By Matthias Raddant; Kiel Institute for the World Economy |
| Presented by: Matthias Raddant, Kiel Institute for the World Economy |
| Zero-intelligence Analysis of Financial Markets: A Stochastic Combinatorial Approach |
| By Imon Palit; Monash University Steve Phelps; University of Essex Wing Lon Ng; Cap Gemini |
| Presented by: Imon Palit, Monash University |
| Exponential Bubble and Linear Trend Under Heterogeneous Expectations |
| By Wai Mun Chia; Nanyang Technological University Weihong Huang; Nanyang Technological University Zichun Huang; Nanyang Technological University |
| Presented by: Zichun Huang, Nanyang Technological University |
| Session ID 56: C7 Financial and Monetary Policies June 20, 2015 12:40 to 14:10 Room 103 |
| Session Organizer: Been-Lon Chen, Academia Sinica |
| Session Chair: William Peterman, Federal Reserve Board of Governors |
| Financial Frictions, Capital Misallocation, and Input-Output Linkages. |
| By Hsuan-Li Su; UW-Madison |
| Presented by: Hsuan-Li Su, UW-Madison |
| Fiscal and Monetary Policies in an Endogenous Growth Model with Banking System and Reserve Markets |
| By Shu-Hua Chen; National Taipei University |
| Presented by: Shu-Hua Chen, National Taipei University |
| Optimality of Inflation and Nominal Income Targeting |
| By Julio Garin; University of Georgia Robert Lester; University of Notre Dame |
| Presented by: Julio Garin, University of Georgia |
| The Distributional Effects of Monetary Policy in a Life Cycle Model |
| [slides] |
| By William Peterman; Federal Reserve Board of Governors Aeimit Lakdawala; Michigan State University Tobias Cwik; Federal Reserve Board |
| Presented by: William Peterman, Federal Reserve Board of Governors |
| Session ID 69: D1 Solving Dynamic Economic Models I June 20, 2015 15:30 to 17:00 Room 201 |
| Session Organizer: Peter Zadrozny, Bureau of Labor Statistics |
| Session Chair: Peter Zadrozny, Bureau of Labor Statistics |
| Solving the Incomplete Markets Model with Aggregate Uncertainty Using Intratemporal Consistency |
| By Erick Sager; Bureau of Labor Statistics |
| Presented by: Erick Sager, Bureau of Labor Statistics |
| Risk-Sensitive Linear Approximations |
| By Alexander Meyer-Gohde; University of Hamburg |
| Presented by: Alexander Meyer-Gohde, University of Hamburg |
| A Linear Programming Approach to Concave Approximation and Value Function Iteration |
| By Ronaldo Carpio; University of International Business & Economics Takashi Kamihigashi; Kobe University |
| Presented by: Ronaldo Carpio, University of International Business & Economics |
| Session ID 17: D2 Heterogeneous Agents June 20, 2015 15:30 to 17:00 Room 202 |
| Session Organizer: Gary Anderson, Board of Governors, Federal Reserve |
| Session Chair: Gary Anderson, Board of Governors, Federal Reserve |
| A New Keynesian Behavioural Model with Individual Rationality and Heterogeneous Agents |
| By Paul Levine; University of Surrey Bo Yang; Xi'an Jiaotong- Liverpool University and University of Surrey |
| Presented by: Paul Levine, University of Surrey |
| Computing the Cross-Sectional Distribution to Approximate Stationary Markov Equilibria with Heterogeneous Agents and Incomplete Markets |
| By Elisabeth Pröhl; Univ. of Geneva, Swiss Finance Institute |
| Presented by: Elisabeth Pröhl, Univ. of Geneva, Swiss Finance Institute |
| The Heterogeneous-Agent CompumetriK Toolkit: An Extensible Framework for Solving and Estimating Hetergeneous-Agent Models |
| By Christopher Carroll; The Johns Hopkins University Nathan Palmer; George Mason University |
| Presented by: Nathan Palmer, George Mason University |
| The Structure of Export Entry Costs |
| By Andrew McCallum; Federal Reserve Board |
| Presented by: Andrew McCallum, Federal Reserve Board |
| Session ID 94: D3 Productivity, Growth and Business Cycles June 20, 2015 15:30 to 17:00 Room 203 |
| Session Organizer: Shu-Heng Chen, National Chengchi University |
| Session Chair: Damjan Pfajfar, Federal Reserve Board |
| Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy? |
| By Sami Alpanda; Bank of Canada Sarah Zubairy; Texas A&M University |
| Presented by: Sami Alpanda, Bank of Canada |
| The Effect of Firm Entry on Capacity Utilization and Macroeconomic Productivity |
| [slides] |
| By Anthony Savagar; Cardiff University |
| Presented by: Anthony Savagar, Cardiff University |
| Climbing atop of Giants’ Shoulders: The Role of Migration in Endogenous Growth |
| By Thomas Lebesmuehlbacher; University of Georgia |
| Presented by: Thomas Lebesmuehlbacher, University of Georgia |
| The Impact of Nominal Rigidities on State-Level Business Cycle Dynamics in the United States |
| By Maarten de Ridder; University of Cambridge Damjan Pfajfar; Federal Reserve Board |
| Presented by: Damjan Pfajfar, Federal Reserve Board |
| Session ID 29: D4 Business Cycles in Small Open Economies: Theory and Empirics June 20, 2015 15:30 to 17:00 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Ruey Yau, National Central University |
| Financial Integration, Financial Frictions and Business Cycles of Emerging Market Economies |
| By Tianxiao Zheng; University of Colorado at Boulder |
| Presented by: Tianxiao Zheng, University of Colorado at Boulder |
| Business Cycles in Small Open Economies: Evidence from Panel Data Between 1900 and 2013 |
| By Wataru Miyamoto; Bank of Canada Thuy Lan Nguyen; Santa Clara University |
| Presented by: Wataru Miyamoto, Bank of Canada |
| Effects of US Quantitative Easing on Emerging Market Economies |
| By Saroj Bhattarai; University of Texas Austin Arpita Chatterjee; University of New South Wales Woong Yong Park; University of Illinois at Urbana-Champaign |
| Presented by: Woong Yong Park, University of Illinois at Urbana-Champaign |
| Estimating Monthly GDP for a Small Open Economy: Structural versus Reduced-Form Mix-Frequency Models |
| By Ruey Yau; National Central University |
| Presented by: Ruey Yau, National Central University |
| Session ID 36: D5 Microstructure and Investor Behavior June 20, 2015 15:30 to 17:00 Room 205 |
| Session Organizer: Wei-Xing Zhou, East China University of Science and Technology |
| Session Chair: Honggang Li, Beijing Normal University |
| The Research of Investor’s Social Network and the Volatility of Market Price |
| By Yangrui Zhang; Beijing Normal University Honggang Li; Beijing Normal University |
| Presented by: Yangrui Zhang, Beijing Normal University |
| Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-high-frequency Stock Returns |
| By Wei-Xing Zhou; East China University of Science and Technology |
| Presented by: Wei-Xing Zhou, East China University of Science and Technology |
| Effect of Information Exchange in a Social Network on Investment: A Study of Herd Effect in Group Parrondo Games |
| By Ho Fai Ma; HKUST Ka Wai Cheung; HKUST Ga Ching Lui; HKUST Degang Wu; HKUST Kwok Szeto; Hong Kong University of Science and Tech |
| Presented by: Ho Fai Ma, HKUST |
| Quantifying Limit-order Book Resiliency After Effective Market Orders in an Order-driven Market: Empirical Analysis of Chinese Stocks |
| By Hai-Chuan Xu |
| Presented by: Hai-Chuan Xu, |
| Session ID 89: D6 Volatility and Finance June 20, 2015 15:30 to 17:00 Room 101 |
| Session Organizer: Carl Chiarella, University of Technology Sydney |
| Session Chair: Masaaki Kijima, Tokyo Metropolitan University |
| Habit, Production, and the Cross-Section of Stock Returns |
| By Andrew Chen; Federal Reserve Board |
| Presented by: Andrew Chen, Federal Reserve Board |
| Investment Timing, Collateral, and Financing Constraints |
| By Takashi Shibata; Tokyo Metropolitan University Michi Nishihara; OSAKA UNIVERSITY |
| Presented by: Takashi Shibata, Tokyo Metropolitan University |
| Inferring Volatility in the Heston Model and Its Relatives: An Information Theoretical Approach |
| By Nils Bertschinger; MPI MIS Oliver Pfante; MPI MIS |
| Presented by: Nils Bertschinger, MPI MIS |
| Analytical Pricing of Barrier Options Under Local Volatility Models |
| By Masaaki Kijima; Tokyo Metropolitan University |
| Presented by: Masaaki Kijima, Tokyo Metropolitan University |
| Session ID 50: D7 Agent-based Models: Empirical Regularities and Economic Policy June 20, 2015 15:30 to 17:00 Room 103 |
| Session Organizer: Thomas Lux, Kiel Institute for the World Economy |
| Session Chair: Ying-Fang Kao, National Chengchi University |
| Matching Impact of School Admission Mechanisms: An Agent-Based Approach |
| By Connie Wang; Walden University/AI-Econ Research Center Shu-Heng Chen; National Chengchi University Weikai Chen; University of Massachusetts Amherst, USA |
| Presented by: Connie Wang, Walden University/AI-Econ Research Center |
| Behavioral Compatibility, ACF and the Emergence of Chinese Stock Market |
| By Guocheng Wang; Chinese Academy of Social Sciences (CASS Shiguo Zhang; Graduate School of Chinese Academy of Social Sciences |
| Presented by: Guocheng Wang, Chinese Academy of Social Sciences (CASS |
| Follow the Guru or Ride the Wave? |
| [slides] |
| By Yanyi Wang; Renmin University of China Guocheng Wang; Chinese Academy of Social Sciences (CASS |
| Presented by: Yanyi Wang, Renmin University of China |
| On the Size Effect of a Simple Agent-Based Macroeconomic Model |
| By Shu-Heng Chen; National Chengchi University Ying-Fang Kao; National Chengchi University Ragupathy Venkatachalam; National Chengchi University |
| Presented by: Ying-Fang Kao, National Chengchi University |
| Session ID 84: D8 Macrofinance June 20, 2015 15:30 to 17:00 Convention Hall |
| Session Organizer: Francesco Furlanetto, Norges Bank |
| Session Chair: Richard Dennis, University of Glasgow |
| Banks and the Rational Credit Cycle |
| By Adrian Penalver; Banque de France, PSE |
| Presented by: Adrian Penalver, Banque de France, PSE |
| Monetary and Macroprudential Policy Mix: An Institution-Design Approach |
| By Julio Carrillo; Banco de Mexico Victoria Nuguer; Banco de México Jessica Roldan-Pena; Banco de Mexico |
| Presented by: Victoria Nuguer, Banco de México |
| Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy When Agents Are Risk-Sensitive |
| By Richard Dennis; University of Glasgow |
| Presented by: Richard Dennis, University of Glasgow |
| Session ID 70: E1 Time Series Econometrics June 21, 2015 8:00 to 9:30 Room 201 |
| Session Organizer: Peter Zadrozny, Bureau of Labor Statistics |
| Session Chair: Roderick McCrorie, University of St Andrews |
| Estimating the Dynamic Mixed Hitting-Time Model Using Characteristic Function Based Moments |
| By Yogo Purwono; University of Indonesia Irwan Ekaputra; University of Indonesia Zaafri Husodo; University of Indonesia |
| Presented by: Yogo Purwono, University of Indonesia |
| Sigma Point Filters For Dynamic Nonlinear Regime Switching Models |
| By Andrew Binning; Norges Bank Junior Maih; Norges Bank |
| Presented by: Andrew Binning, Norges Bank |
| Lessons for Forecasting Unemployment in the U.S.: Use Flow Rates, Mind the Trend |
| By Murat Tasci; Federal Reserve Bank of Cleveland |
| Presented by: Murat Tasci, Federal Reserve Bank of Cleveland |
| On the Exact Discrete Analog of a System of Linear Stochastic Differential Equations Driven by Fractional Gaussian Noise |
| By Roderick McCrorie; University of St Andrews |
| Presented by: Roderick McCrorie, University of St Andrews |
| Session ID 18: E2 Modeling Stock and Energy Prices June 21, 2015 8:00 to 9:30 Room 202 |
| Session Organizer: Gary Anderson, Board of Governors, Federal Reserve |
| Session Chair: Gary Anderson, Board of Governors, Federal Reserve |
| Using Extreme Value Theory and Support Vector Machines to Model and Forecast the Occurrence of Extreme Prices in the German Electricity Market |
| By Efthymios Stathakis; Democritus University of Thrace Periklis Gogas; Democritus University of Thrace Theophilos Papadimitriou; Democritus University of Thrace |
| Presented by: Efthymios Stathakis, Democritus University of Thrace |
| China Momentum and Transparency |
| [slides] |
| By Tao Fu; Nanfang College of Sun Yat-Sen University Hungwen Lin; Nanfang College of Sun Yat-Sen University Hong Xiao; Nanfang College of Sun Yat-Sen University Na Zhang; Nanfang College of Sun Yat-Sen University |
| Presented by: Hungwen Lin, Nanfang College of Sun Yat-Sen University |
| Identification of China Stock Market Forces Under System Adaptation Framework |
| By Limiao Bai; National University of Singapore Xiaolian Zheng; National University of Singpaore Ben Chen; National University of Singapore |
| Presented by: Xiaolian Zheng, National University of Singpaore |
| Another Look at Large-Cap Stock Return Comovement: A Semi- Markov-Switching Approach |
| By Kaihua Deng; University of Washington |
| Presented by: Kaihua Deng, University of Washington |
| Session ID 43: E3 Agent-based Macro Models I June 21, 2015 8:00 to 9:30 Room 203 |
| Session Organizer: Cars Hommes, University of Amsterdam |
| Session Chair: Michele Catalano, Prometeia Associazione |
| Adaptive Beliefs in RBC models |
| By Sijmen Duineveld; University of Augsburg |
| Presented by: Sijmen Duineveld, University of Augsburg |
| All Things Change in the Interbank Market: Policy Experiments from “Mutamur in Illis” |
| By Mikhail Oet; Case Western Reserve University, Federal Reserve Bank of Cleveland John Dooley; Federal Reserve Bank of Cleveland Agostino Capponi; Columbia University Peng-Chu Chen; Purdue University Stephen Ong; Federal Reserve Bank of Cleveland Kalle Lyytinen; Case Western Reserve University |
| Presented by: Mikhail Oet, Case Western Reserve University, Federal Reserve Bank of Cleveland |
| Learning and Heterogeneity in DSGE Models: An Agent-based Approach |
| By Alessandro Gobbi; Università Cattolica del Sacro Cuore Jakob Grazzini; Catholic University of Milan |
| Presented by: Jakob Grazzini, Catholic University of Milan |
| Dynamic Stochastic Generalised Aggregation in a Multisectoral Macroeconomic Model |
| By Michele Catalano; Prometeia Associazione Corrado Di Guilmi; University Technology Sydney |
| Presented by: Michele Catalano, Prometeia Associazione |
| Session ID 30: E4 TVP-VARs: Challenges and New Developments June 21, 2015 8:00 to 9:30 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Hirokuni Iiboshi, Tokyo Metropolitan University |
| Beveridge Curve Shifts and Time-Varying Parameter VARs |
| By Thomas Lubik; Federal Reserve Bank of Richmond Christian Matthes; Richmond Fed |
| Presented by: Thomas Lubik, Federal Reserve Bank of Richmond |
| Monetary-Fiscal Policy Interaction and Fiscal Inflation: A Tale of Three Countries |
| By Martin Kliem; Deutsche Bundesbank Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb Samad Sarferaz; ETH Zurich |
| Presented by: Samad Sarferaz, ETH Zurich |
| Time-varying Fiscal Multipliers Identified with Sign and Zero Restrictions: A Bayesian Approach to TVP-VAR-SV model |
| [slides] |
| By Hirokuni Iiboshi; Tokyo Metropolitan University Yasuharu Iwata; Nagasaki University and ESRI, Cabinet Office |
| Presented by: Hirokuni Iiboshi, Tokyo Metropolitan University |
| Session ID 38: E5 Econophysics III June 21, 2015 8:00 to 9:30 Room 205 |
| Session Organizer: Wei-Xing Zhou, East China University of Science and Technology |
| Session Chair: Fei Ren, East China University of Science and Tec |
| Newtonian and Lagrangian Mechanics of a Production System |
| By Matti Estola; University of Eastern Finland Alia Dannenberg; University of Eastern Finland |
| Presented by: Matti Estola, University of Eastern Finland |
| A Multi-Agent Model For Lowest Unique Bid Auction |
| By Rui Hu; Beijing Normal University Cancan Zhou; Beijing Normal University Qinghua Chen; Beijing Normal University Tao zheng; Beijing Normal University |
| Presented by: Qinghua Chen, Beijing Normal University |
| Complementary Stochastic and Deterministic Information in Financial Fluctuations |
| By Cyum-Wei Chen; National ChengChi university Wen-Jong Ma; National Chengchi University |
| Presented by: Wen-Jong Ma, National Chengchi University |
| Innovation in Competitions |
| By Wei Pan; National Chung Cheng University |
| Presented by: Wei Pan, National Chung Cheng University |
| Session ID 91: E6 Risk, Investment and Banking June 21, 2015 8:00 to 9:30 Room 101 |
| Session Organizer: Carl Chiarella, University of Technology Sydney |
| Session Chair: Sigurd Mølster Galaasen, Norges Bank |
| Investment Strategies, Reversibility and Asymmetric Information |
| By Xue Cui; Tokyo Metropolitan University Takashi Shibata; Tokyo Metropolitan University |
| Presented by: Xue Cui, Tokyo Metropolitan University |
| Is Risk Quantifiable? |
| By Sami Alsuwailem; Islamic Development Bank Francisco Doria; Federal University at Rio de Janeiro Mahmoud Kamel; King Abdulaziz University |
| Presented by: Sami Alsuwailem, Islamic Development Bank |
| Can Social Media and the Options Market Predict the Stock Market Behavior? |
| By Patrick Houlihan; Stevens Institute of Technology Germán Creamer; Stevens Institute of Technology |
| Presented by: Germán Creamer, Stevens Institute of Technology |
| Stress Testing in a Structural Model of Bank Behavior |
| By Dean Corbae; University of Wisconsin Pablo D'Erasmo; FRB Philadelphia Sigurd Mølster Galaasen; Norges Bank Alfonso Irarrazabal; Norges Bank Thomas Siemsen; Ludwig-Maximilians-University Munich |
| Presented by: Sigurd Mølster Galaasen, Norges Bank |
| Session ID 58: E7 Housing Dynamics and Economic Growth June 21, 2015 8:00 to 9:30 Room 103 |
| Session Organizer: Been-Lon Chen, Academia Sinica |
| Session Chair: Filip Rozsypal, University of Cambridge |
| Keeping Up with the Zhangs and House Price Dynamics in China |
| By Raoul Minetti; Michigan State University Tao Peng; Southwestern University of Finance and Economics |
| Presented by: Tao Peng, Southwestern University of Finance and Economics |
| Nationwide or Local Housing Boom-bust Cycles? Evidence from Structural Instability in the US Housing Markets |
| By Meichi Huang; National Taipei University |
| Presented by: Meichi Huang, National Taipei University |
| Migration Restrictions: Implications on Human Capital, Output, and Welfare |
| By Jingchao Li; The Ohio State University Byoung Hoon Seok; The Ohio State University Hye Mi You; State University of New York at Buffalo |
| Presented by: Byoung Hoon Seok, The Ohio State University |
| Schumpeterian Business Cycles |
| By Filip Rozsypal; University of Cambridge |
| Presented by: Filip Rozsypal, University of Cambridge |
| Session ID 85: E8 Open Economy Macroeconomics June 21, 2015 8:00 to 9:30 Convention Hall |
| Session Organizer: Francesco Furlanetto, Norges Bank |
| Session Chair: Alexandre Dmitriev, University of Tasmania |
| The Rise of Corporate Borrowing in Emerging Economies in the Era of Low Gobal Interest Rates |
| By Roberto Chang; Rutgers University Andres Fernandez; Inter American Development Bank Adam Gulan; Bank of Finland |
| Presented by: Adam Gulan, Bank of Finland |
| Wealth Effects and Labor Market Dynamics in International Business Cycles |
| By Carlos Yepez; University of Manitoba |
| Presented by: Carlos Yepez, University of Manitoba |
| The Spatial Origins of Aggregate Fluctuations |
| [slides] |
| By Tom Holden; University of Surrey |
| Presented by: Tom Holden, University of Surrey |
| Lifestyle Habits and International Transmission of Business Cycles |
| By Alexandre Dmitriev; University of Tasmania |
| Presented by: Alexandre Dmitriev, University of Tasmania |
| Session ID 21: F1 Exchange Rates, Spreads, and Asset Pricing June 21, 2015 11:00 to 12:30 Room 201 |
| Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Session Chair: Iskander Karibzhanov, Bank of Canada |
| Exchange Rates, Expectations and Risk: UIP Unbound |
| By Anella Munro; Reserve Bank of New Zealand |
| Presented by: Anella Munro, Reserve Bank of New Zealand |
| Long-Run Risk, Labor Market Dynamics and Asset Prices |
| By Philipp Pfeiffer; Technische Universität Berlin Malte Schumacher |
| Presented by: Philipp Pfeiffer, Technische Universität Berlin |
| Real Effective Exchange Rates and Wage Adjustments in China |
| By QianQian Wang; Henan University |
| Presented by: QianQian Wang, Henan University |
| Sovereign Defaults |
| By Iskander Karibzhanov; Bank of Canada |
| Presented by: Iskander Karibzhanov, Bank of Canada |
| Session ID 74: F2 Measuring Risks in Financial Assets June 21, 2015 11:00 to 12:30 Room 202 |
| Session Organizer: Francesco Ravazzolo, Norges Bank |
| Session Chair: Francesco Ravazzolo, Norges Bank |
| Why Risk is So Hard to Measure |
| By Jon Danielsson; London School of Economics Chen Zhou; De Nederlandsche Bank |
| Presented by: Chen Zhou, De Nederlandsche Bank |
| The Liquidity Effects of Official Bond Market Intervention |
| By Michiel De Pooter; Federal Reserve Board of Governors |
| Presented by: Michiel De Pooter, Federal Reserve Board of Governors |
| Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting |
| By Andre Lucas; VU University Amsterdam Xin Zhang; Sveriges Riksbank |
| Presented by: Xin Zhang, Sveriges Riksbank |
| Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rates |
| By Claudia Foroni; Norges Bank Francesco Ravazzolo; Norges Bank Barbara Sadaba; Erasmus University - Tinbergen Institute |
| Presented by: Francesco Ravazzolo, Norges Bank |
| Session ID 44: F3 Agent-based Macro Models II June 21, 2015 11:00 to 12:30 Room 203 |
| Session Organizer: Cars Hommes, University of Amsterdam |
| Session Chair: Christophre Georges, Hamilton College |
| Modelling Price Discovery in an Agent Based Model for Agriculture in Luxembourg |
| By Sameer Rege; Luxembourg Institute of Science and Technology Tomas Navarrete-Gutierrez; Luxembourg Institute of Science and Technology |
| Presented by: Sameer Rege, Luxembourg Institute of Science and Technology |
| An Agent-Based Simulation of the Stolper-Samuelson Effect |
| [slides] |
| By Luzius Meisser; University of Zurich Carl Kreuser; Stellenbosch University |
| Presented by: Luzius Meisser, University of Zurich |
| Deleveraging Crises and Deep Recessions: a Behavioural Approach |
| By Pascal Seppecher; University of Paris North Isabelle Salle; CeNDEF, Amsterdam School of Economics |
| Presented by: Isabelle Salle, CeNDEF, Amsterdam School of Economics |
| Product Innovation and Macroeconomic Dynamics |
| By Christophre Georges; Hamilton College |
| Presented by: Christophre Georges, Hamilton College |
| Session ID 31: F4 Empirical Trade Models June 21, 2015 11:00 to 12:30 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Logan Lewis, Federal Reserve Board |
| Do Borders Really Slash Trade? A Meta-Analysis |
| By Tomas Havranek; Czech National Bank Zuzana Irsova; Charles University in Prague |
| Presented by: Tomas Havranek, Czech National Bank |
| Systemic Risk on Liquidity Channels: Evidence from Korean Trade Credit Network |
| [slides] |
| By Jisang Lee; KAIST DukHee Lee |
| Presented by: Jisang Lee, KAIST |
| How Important are Trade Prices for Trade Flows? |
| By Logan Lewis; Federal Reserve Board |
| Presented by: Logan Lewis, Federal Reserve Board |
| Session ID 39: F5 Experimental Study of Learning and Searching Behavior June 21, 2015 11:00 to 12:30 Room 205 |
| Session Organizer: Chung-Ching Tai, Tunghai University |
| Session Chair: William Tracy, Rensselaer Polytechnic Institute |
| Heterogeneity in Experienced-Weighted Attraction Learning and Its Relation to Cognitive Ability |
| By Shu-Heng Chen; National Chengchi University Ye-Rong Du; National Chengchi University |
| Presented by: Ye-Rong Du, National Chengchi University |
| Adaptive versus Eductive Learning: Theory and Evidence |
| By Te Bao; University of Groningen John Duffy; University of California, Irvine |
| Presented by: Te Bao, University of Groningen |
| Competitor Information and the Selection of Search Algorithms in Computational Models |
| By William Tracy; Rensselaer Polytechnic Institute Deepu Philip; Indian Institute of Technology Kanpur Dmitri Markovitch; Rensselaer Polytechnic Institute Lois Peters; Rensselaer Polytechnic Institute |
| Presented by: William Tracy, Rensselaer Polytechnic Institute |
| Session ID 92: F6 Valuation and Pricing June 21, 2015 11:00 to 12:30 Room 101 |
| Session Organizer: Carl Chiarella, University of Technology Sydney |
| Session Chair: Yuwei Wang, Marist College |
| Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization |
| By Xiaolin Luo; CSIRO Pavel Shevchenko; CSIRO |
| Presented by: Xiaolin Luo, CSIRO |
| Pricing an American Call Under Stochastic Volatility and Interest Rates |
| By Boda Kang; University of York Gunter Meyer; Georgia Institute of Technology |
| Presented by: Boda Kang, University of York |
| Equilibrium Dynamics in an Illiquid Market with Heterogeneous Economic Agents |
| By Aleksandra Zhukova; Dorodnicyn Computing Center of RAS Igor Pospelov; Dorodnicyn Computing Center of RAS |
| Presented by: Aleksandra Zhukova, Dorodnicyn Computing Center of RAS |
| Directors’ and Officers’ Liability Insurance and the Sensitivity of Directors’ Compensation to Firm Performance |
| By Yuwei Wang; Marist College Chia-wei Chen; Tunghai University |
| Presented by: Yuwei Wang, Marist College |
| Session ID 59: F7 Population, Health and Social Security June 21, 2015 11:00 to 12:30 Room 103 |
| Session Organizer: Been-Lon Chen, Academia Sinica |
| Session Chair: Koichi Miyazaki, |
| Fiscal and Population Policies in an Aging Economy with the Presence of Informal Employment |
| By Minchung Hsu; National Graduate Institute for Policy Studies (GRIPS) Tanyasorn Ekapirak; National Graduate Institute for Policy Studies |
| Presented by: Tanyasorn Ekapirak, National Graduate Institute for Policy Studies |
| The Blighted Youth: An International Comparison of Life-Cycle Unemployment |
| By Bernabe Lopez-Martin; Bank of Mexico |
| Presented by: Bernabe Lopez-Martin, Bank of Mexico |
| Optimal Health Insurance in the Presence of Risky Health Behaviors |
| By Osman Abbasoglu; Central Bank of the Republic of Turkey |
| Presented by: Osman Abbasoglu, Central Bank of the Republic of Turkey |
| Optimal Pay-As-You-Go Social Security When Retirement is Endogenous and Labor Productivity Depreciates |
| By Koichi Miyazaki; Kagawa University |
| Presented by: Koichi Miyazaki, |
| Session ID 22: G1 Monetary Policy I June 21, 2015 13:30 to 15:00 Room 201 |
| Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Session Chair: Aarti Singh, University of Sydney |
| Financial Shocks, Loan Loss Provisions and Macroeconomic Stability |
| By Roy Zilberman; Lancaster University William Tayler; Lancaster University |
| Presented by: Roy Zilberman, Lancaster University |
| A Central Bank's Escape from an Indeterminacy Trap |
| By Nelson Lind; University of California, San Diego |
| Presented by: Nelson Lind, University of California, San Diego |
| Equilibrium Yield Curves and the Zero Lower Bound |
| By Tanaka Hiroatsu; Federal Reserve Board Taisuke Nakata; Federal Reserve Board |
| Presented by: Tanaka Hiroatsu, Federal Reserve Board |
| Optimal Monetary Policy at the Zero Lower Bound |
| By Costas Azariadis; Washington University in St Louis James Bullard; Federal Reserve Bank of St. Louis Aarti Singh; University of Sydney Jacek Suda; National Bank of Poland |
| Presented by: Aarti Singh, University of Sydney |
| Session ID 75: G2 Econometrics I June 21, 2015 13:30 to 15:00 Room 202 |
| Session Organizer: Francesco Ravazzolo, Norges Bank |
| Session Chair: Andrzej Kociecki, Narodowy Bank Polski |
| Powerful Test Combination with an “Alternative” Bootstrap |
| By Ana-Maria H. Dumitru; University of Surrey |
| Presented by: Ana-Maria H. Dumitru, University of Surrey |
| What Drives Firms' Responses to an Oil Price Shock? A Survey Experimental Identification Procedure |
| By Samad Sarferaz; ETH Zurich Dirk Drechsel; ETH Zurich Heiner Mikosch; ETH Zurich Matthias Bannert; ETH Zurich |
| Presented by: Dirk Drechsel, ETH Zurich |
| Estimating Spillover in the Global Banking Network Using VAR with Exponential Smoothing and Ridge Regression |
| By Sachapon Tungsong; University College London Fabio Caccioli; University College London Tomaso Aste; University College London |
| Presented by: Sachapon Tungsong, University College London |
| Bayesian Analysis of SVAR Models with Economic Priors |
| By Michele Ca' Zorzi; European Central Bank Andrzej Kociecki; Narodowy Bank Polski Michał Rubaszek; National Bank of Poland |
| Presented by: Andrzej Kociecki, Narodowy Bank Polski |
| Session ID 45: G3 Laboratory Experiments June 21, 2015 13:30 to 15:00 Room 203 |
| Session Organizer: Cars Hommes, University of Amsterdam |
| Session Chair: Cars Hommes, University of Amsterdam |
| The Formation and Destruction of Trust: Experimental Evidence from Network-Based Trust Games |
| By Chung-Ching Tai; Tunghai University Shu-Heng Chen; National Chengchi University Yi-Ting Yeh; Department of Economics, National Chengchi University, Taiwan |
| Presented by: Chung-Ching Tai, Tunghai University |
| Monetary and Fiscal Policy Design at the Zero Lower Bound: Evidence from the Lab |
| By Cars Hommes; University of Amsterdam Domenico Massaro; University of Amsterdam Isabelle Salle; CeNDEF, Amsterdam School of Economics |
| Presented by: Isabelle Salle, CeNDEF, Amsterdam School of Economics |
| Simple Forecasting Heuristics that Make Us Smart: Evidence from Different Market Experiments |
| By Mikhail Anufriev; University of Technology Sydney Cars Hommes; University of Amsterdam Tomasz Makarewicz; University of Amsterdam |
| Presented by: Mikhail Anufriev, University of Technology Sydney |
| Equilibrium Selection Through Laboratory Experiments in an OLG economy |
| By Jasmina Arifovic; Simon Fraser University Cars Hommes; University of Amsterdam Isabelle Salle; CeNDEF, Amsterdam School of Economics |
| Presented by: Cars Hommes, University of Amsterdam |
| Session ID 42: G4 Sources of Business Cycles: A Euro Area Perspective June 21, 2015 13:30 to 15:00 Room 204 |
| Session Organizer: Thomas Lubik, Federal Reserve Bank of Richmond |
| Session Chair: Marius Clemens, University of Potsdam |
| Fiscal Austerity, Unemployment and Family Firms |
| By Zsuzsa Munkacsi; European University Institute |
| Presented by: Zsuzsa Munkacsi, European University Institute |
| Monetary Cross Checking in Practice |
| By Guenter Beck; Johannes Gutenberg-Universität Robert Beyer; Goethe University Frankfurt Markus Kontny; Goethe University Frankfurt Volker Wieland; Goethe University of Frankfurt |
| Presented by: Robert Beyer, Goethe University Frankfurt |
| Global Oil Prices and Recessions: the Role of Nontradeables |
| By Makram Khalil; University of Vienna, Vienna Graduate School of Economics |
| Presented by: Makram Khalil, University of Vienna, Vienna Graduate School of Economics |
| Migration, Unemployment and the Business Cycle - A Euro Area Perspective - |
| By Janine Hart; University of Potsdam Marius Clemens; University of Potsdam |
| Presented by: Marius Clemens, University of Potsdam |
| Session ID 40: G5 Asset Market Experiments with Human Subjects June 21, 2015 13:30 to 15:00 Room 205 |
| Session Organizer: Chung-Ching Tai, Tunghai University |
| Session Chair: Alba Ruiz-Buforn, Universitat Jaume I |
| Efficiency of the Experimental Prediction Market: Heterogeneous Information, Belief, and Personality |
| By Bin-Tzong Chie; Tamkang University Shu-Heng Chen; National Chengchi University Chung-Yu Wu; Tamkang University |
| Presented by: Bin-Tzong Chie, Tamkang University |
| How Do Experienced Traders Respond to in Ows of Inexperienced traders? An Experimental Analysis |
| By Eizo Akiyama; University of Tsukuba Nobuyuki Hanaki; Aix-Marseille University, GREQAM, IUF Ryuichiro Ishikawa; University of Tsukuba |
| Presented by: Eizo Akiyama, University of Tsukuba |
| An Experimental Study on Overweighting of Public Information |
| By Simone Alfarano; University Jaume I Eva Camacho-Cuena; University Jaume I Alba Ruiz-Buforn; Universitat Jaume I |
| Presented by: Alba Ruiz-Buforn, Universitat Jaume I |
| Session ID 64: G6 Dynamics of Limit Order Markets June 21, 2015 13:30 to 15:00 Room 101 |
| Session Organizer: Xue-Zhong He, University of Technology, Sydney |
| Session Chair: Chia-Hsuan Yeh, Yuan Ze University |
| The Effect of Fast Traders in Continuous Double Auction Market |
| By Kyubin Yim; POSTECH Gabjin Oh; Chosun University Seunghwan Kim; POSTECH |
| Presented by: Kyubin Yim, POSTECH |
| Buying on Margin, Selling Short in an Artificial Double Auction Market |
| By Xuan Zhou; Beijing Normal University Honggang Li; Beijing Normal University |
| Presented by: Xuan Zhou, Beijing Normal University |
| Intraday Dynamics of Euro Area Sovereign CDS and Bonds |
| By Jacob Gyntelberg; Bank for International Settlements Peter Hoerdahl; Bank for International Settlements Kristyna Ters; University of Basel Joerg Urban; Bank for International Settlements |
| Presented by: Peter Hoerdahl, Bank for International Settlements |
| Does High-frequency Trading Matter? |
| By Chia-Hsuan Yeh; Yuan Ze University Chun-Yi Yang; George Mason University |
| Presented by: Chia-Hsuan Yeh, Yuan Ze University |
| Session ID 51: G7 Agent-based Modeling I June 21, 2015 13:30 to 15:00 Room 103 |
| Session Organizer: Akira Namatame, National Defense Academy |
| Session Chair: Yuji Aruka, Chuo University |
| Systemic Risks of Evolving Networks |
| By Akira Namatame; National Defense Academy |
| Presented by: Akira Namatame, National Defense Academy |
| Stability of General Equilibrium Under Learning in an Agent-based Scarf Economy |
| By Shu-Heng Chen; National Chengchi University Bin-Tzong Chie; Tamkang University Ying-Fang Kao; National Chengchi University Ragupathy Venkatachalam; National Chengchi University |
| Presented by: Ragupathy Venkatachalam, National Chengchi University |
| Product Competition with Network Effects |
| By Cen Chen; Singapore Management University Zhiling Guo; Singapore Management University Shih-Fen Cheng; Singapore Management University Hoong Chuin Lau; Singapore Management University |
| Presented by: Cen Chen, Singapore Management University |
| A Dynamic Network Model of Banking System Stability |
| [slides] |
| By Mengyang Wei Miguel Leon-Ledesma; University of Kent Gianluca Marcelli Sarah Spurgeon; University of Kent |
| Presented by: Mengyang Wei, |
| Session ID 23: H1 Fiscal Policy and Production June 21, 2015 15:20 to 16:50 Room 201 |
| Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Session Chair: German Cubas, University of Houston |
| Isoelastic Elasticity of Substitution Production Functions |
| By Jakub Growiec; Warsaw School of Economics & NBP |
| Presented by: Jakub Growiec, Warsaw School of Economics & NBP |
| Fiscal Multipliers in a Two-sector Search and Matching Model |
| By Konstantinos Angelopoulos; University of Glasgow Wei Jiang; University of Kent James Malley; University of Glasgow and CESifo |
| Presented by: Wei Jiang, University of Kent |
| Optimal Decumulation of Wealth in General Equilibrium |
| By James Feigenbaum; Utah State University |
| Presented by: James Feigenbaum, Utah State University |
| Progressive Taxation and Risky Career Choices |
| By German Cubas; University of Houston Pedro Silos; Federal Reserve Bank of Atlanta |
| Presented by: German Cubas, University of Houston |
| Session ID 76: H2 Econometrics II June 21, 2015 15:20 to 16:50 Room 202 |
| Session Organizer: Francesco Ravazzolo, Norges Bank |
| Session Chair: Jozef Barunik, Institute of Economic Studies, Charles U |
| Realized Wavelet-based Estimation of Integrated Covariance and Co-jumps in the Presence of Noise |
| By Lukas Vacha; UTIA, Czech Academy of Sciences Jozef Barunik; Institute of Economic Studies, Charles U |
| Presented by: Lukas Vacha, UTIA, Czech Academy of Sciences |
| Unemployment Hysteresis and Structural Change in Europe |
| By Kurmas Akdogan; Central Bank of the Republic of Turkey |
| Presented by: Kurmas Akdogan, Central Bank of the Republic of Turkey |
| Conditional Term Structure of the Canadian Inflation Forecast Uncertainties: the Copula Approach |
| By Wojciech Charemza; University of Leicester Carlos Diaz; University of Leicester Svetlana Makarova; University College London |
| Presented by: Carlos Diaz, University of Leicester |
| Measuring the frequency dynamics of financial and macroeconomic connectedness |
| By Jozef Barunik; Institute of Economic Studies, Charles U Tomas Krehlik; Academy of Sciences of the Czech Republic |
| Presented by: Jozef Barunik, Institute of Economic Studies, Charles U |
| Session ID 46: H3 Expectations and Learning June 21, 2015 15:20 to 16:50 Room 203 |
| Session Organizer: Cars Hommes, University of Amsterdam |
| Session Chair: Kai Li, University of Technology, Sydney |
| Behavioral Learning Equilibria and Monetary Policy for the New Keynesian Model |
| By Cars Hommes; University of Amsterdam Mei Zhu; Shanghai University of Finance and Economics |
| Presented by: Mei Zhu, Shanghai University of Finance and Economics |
| Strategic Location Choices of Innovative Firms: An Agent Based Analysis |
| By Luca Colombo; Università Cattolica del Sacro Cuore Herbert Dawid; University of Bielefeld Philipp Harting; Bielefeld University |
| Presented by: Luca Colombo, Università Cattolica del Sacro Cuore |
| Costly Decisions and Sequential Bargaining |
| By James Costain; Bank of Spain |
| Presented by: James Costain, Bank of Spain |
| Volatility Clustering: A Nonlinear Theoretical Approach |
| By Xue-Zhong He; University of Technology, Sydney Kai Li; University of Technology, Sydney Chuncheng Wang; Harbin Institute of Technology |
| Presented by: Kai Li, University of Technology, Sydney |
| Session ID 60: H4 Macrodynamics of Inequality in Closed and Open Economies June 21, 2015 15:20 to 16:50 Room 204 |
| Session Organizer: Paul McNelis, Fordham University |
| Session Chair: Jinhui Bai, Washington State University |
| Income Growth and Inequality: The Threshold Effects of Trade and Financial Openness |
| By Guay Lim; University of Melbourne Paul McNelis; Fordham University |
| Presented by: Guay Lim, University of Melbourne |
| The Consequences of Tariff Reduction for Economic Activity and Inequality |
| By Jorge Rojas; University of Washington Stephen Turnovsky; University of Washington |
| Presented by: Stephen Turnovsky, University of Washington |
| Balancing Okun's Bucket: Using Viability Theory to Control Inequality |
| By Jacek Krawczyk; Victoria University of Wellington Wilbur Townsend; Victoria University of Wellington |
| Presented by: Jacek Krawczyk, Victoria University of Wellington |
| The Welfare Costs of Fiscal Uncertainty: A Quantitative Evaluation |
| By Ruediger Bachmann; University of Notre Dame Jinhui Bai; Washington State University Minjoon Lee; University of Michigan Fudong Zhang; University of Michigan |
| Presented by: Jinhui Bai, Washington State University |
| Session ID 41: H5 Intention, Reciprocity, and Motivation: Evidence from the Lab June 21, 2015 15:20 to 16:50 Room 205 |
| Session Organizer: Chung-Ching Tai, Tunghai University |
| Session Chair: Yan Zhou, Kyoto Sangyo University |
| Experimental Study of Bribery in Public Procurement |
| By Milos Fisar; Masaryk University |
| Presented by: Milos Fisar, Masaryk University |
| How Monetary Rewards Dominate Subjects' Self-Satisfaction of Winning a Game |
| By Toshiaki Akinaga; Tokoha University Yan Zhou; Kyoto Sangyo University Sobei Oda; Kyoto Sangyo University |
| Presented by: Toshiaki Akinaga, Tokoha University |
| An Experimental Economics Approach to the Knobe Effect |
| [slides] |
| By Yan Zhou; Kyoto Sangyo University Masashi Kasaki; Kyoto University Sobei Oda; Kyoto Sangyo University |
| Presented by: Yan Zhou, Kyoto Sangyo University |
| Session ID 65: H6 Asset Pricing and Portfolio Optimization: Heterogeneous Beliefs June 21, 2015 15:20 to 16:50 Room 101 |
| Session Organizer: Xue-Zhong He, University of Technology, Sydney |
| Session Chair: Lei Shi, University of Technology, Sydney |
| Heterogeneous Beliefs and Stock-Bond Comovements |
| By Mengling Li; Nanyang Technological University Huanhuan Zheng; The Chinese University of Hong Kong |
| Presented by: Mengling Li, Nanyang Technological University |
| Moving-Average Strategies in Housing Markets |
| By Min Zheng; Central University of Finance and Economics |
| Presented by: Min Zheng, Central University of Finance and Economics |
| The Magnet Effect of Price Limits in Taiwan Stock Market: A Heterogeneous Agents Approach |
| By Chueh-Yung Tsao; Chang Gung University |
| Presented by: Chueh-Yung Tsao, Chang Gung University |
| A Simple Asset Pricing Model with Social Interactions and Differences in Opinion |
| By Xue-Zhong He; University of Technology Sydney Kai Li; University of Technology, Sydney Lei Shi; University of Technology, Sydney |
| Presented by: Lei Shi, University of Technology, Sydney |
| Session ID 52: H7 Agent-based Modeling II June 21, 2015 15:20 to 16:50 Room 103 |
| Session Organizer: Akira Namatame, National Defense Academy |
| Session Chair: Akira Namatame, National Defense Academy |
| Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective |
| By Aki-Hiro Sato; Kyoto University Paolo Tasca; Deutsche Bundesbank |
| Presented by: Aki-Hiro Sato, Kyoto University |
| Using Agent-based Models to Test the Stability of Equilibrium Models |
| By Harbir Lamba; George Mason University |
| Presented by: Harbir Lamba, George Mason University |
| An Agent-based Model for Crisis Liquidity Dynamics |
| By Mark Paddrik; Office of Financial Research Richard Bookstabler; Offcie of Financial Research |
| Presented by: Mark Paddrik, Office of Financial Research |
| The Dynamics of Leverage in a Demand Driven Model with Heterogeneous Firms |
| By Laura Carvalho; University of Sao Paulo Corrado Di Guilmi; University Technology Sydney |
| Presented by: Corrado Di Guilmi, University Technology Sydney |
| Session ID 78: I1 Solving Dynamic Economic Models II June 22, 2015 8:00 to 9:30 Room 201 |
| Session Organizer: Peter Zadrozny, Bureau of Labor Statistics |
| Session Chair: Peter Zadrozny, Bureau of Labor Statistics |
| Value Function Iteration on the GPU: A Matlab Toolkit |
| By Robert Kirkby |
| Presented by: Robert Kirkby, |
| An R&D Race with Knowledge Accumulation of the Complementary Property and Spillovers |
| By Hsin-Mien Wang; Bielefeld University |
| Presented by: Hsin-Mien Wang, Bielefeld University |
| Matrix Polynomial Factorization for Solving Vector Linear Rational Expectations Models and Computing Matrix Spectral Factorizations |
| By Peter Zadrozny; Bureau of Labor Statistics |
| Presented by: Peter Zadrozny, Bureau of Labor Statistics |
| Session ID 71: I2 Empirical Macroeconomics I June 22, 2015 8:00 to 9:30 Room 202 |
| Session Organizer: Michel Juillard, Banque de France |
| Session Chair: Serguei Maliar, Santa Clara University |
| Macroeconomic Policy Games |
| By Martin Bodenstein; National University of Singapore Luca Guerrieri; Federal Reserve Board |
| Presented by: Martin Bodenstein, National University of Singapore |
| What Measures Chinese Monetary Policy? |
| By Rongrong Sun; University of Nottingham Ningbo China |
| Presented by: Rongrong Sun, University of Nottingham Ningbo China |
| Terms of Trade Shocks and Optimal Monetary Policy in India |
| [slides] |
| By Chetan Ghate; Indian Statistical Institute, Delhi Sargam Gupta; Indian Statistical Institute, Delhi Debdulal Mallick; Deakin University |
| Presented by: Sargam Gupta, Indian Statistical Institute, Delhi |
| A Tractable Framework for Analyzing a Class of Nonstationary Markov Models |
| [slides] |
| By Lilia Maliar; Stanford University Serguei Maliar; Santa Clara University John Taylor; Stanford University Inna Tsener; University of Alicante |
| Presented by: Serguei Maliar, Santa Clara University |
| Session ID 47: I3 Agent-based Models of Finance I June 22, 2015 8:00 to 9:30 Room 203 |
| Session Organizer: Cars Hommes, University of Amsterdam |
| Session Chair: Blake LeBaron, Brandeis University |
| Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis |
| By Kotaro Miwa; Tokio Marine Asset Management Kazuhiro Ueda; University of Tokyo |
| Presented by: Kotaro Miwa, Tokio Marine Asset Management |
| Endogenous Fundamental, Financial Bubbles and Wealth Accumulation |
| By Weihong Huang; Nanyang Technological University Yu Zhang; Nanyang Technological University |
| Presented by: Yu Zhang, Nanyang Technological University |
| Crashes of Housing Price Bubbles Under Heterogeneous Expectations |
| By Wai Mun Chia; Nanyang Technological University Weihong Huang; Nanyang Technological University Zichun Huang; Nanyang Technological University |
| Presented by: Wai Mun Chia, Nanyang Technological University |
| Risk Forecasting and Stock Price Volatility |
| By Blake LeBaron; Brandeis University |
| Presented by: Blake LeBaron, Brandeis University |
| Session ID 61: I4 Reform and Pricing Dynamics June 22, 2015 8:00 to 9:30 Room 204 |
| Session Organizer: Paul McNelis, Fordham University |
| Session Chair: Kazuhiro Hiraki, Bank of Japan |
| The Distributional Effects of Redistributional Tax Policy |
| By Jason DeBacker; Middle Tennessee State University Richard Evans; Brigham Young University Evan Magnusson; Brigham Young University Kerk L. Phillips; Brigham Young University Shanthi Ramnath; U.S. Department of the Treasury Isaac Swift; Brigham Young University |
| Presented by: Kerk L. Phillips, Briham Young University |
| A Bridge to Equality: How Investing in Infrastructure Affects the Distribution of Wealth |
| By John Gibson; Georgia State University Felix Rioja; Georgia State University |
| Presented by: John Gibson, Georgia State University |
| The Asymmetric Effects of Oil Price Shocks on the Canadian Economy |
| By Luiggi Donayre; University of Minnesota - Duluth Neil Wilmot; University of Minnesota Duluth |
| Presented by: Luiggi Donayre, University of Minnesota - Duluth |
| Changing Exchange Rate Pass-through in Japan: Does It Indicate Changing Price Setting Behavior? |
| By Naoko Hara; Bank of Japan Kazuhiro Hiraki; Bank of Japan Yoshitaka Ichise; Bank of Japan |
| Presented by: Kazuhiro Hiraki, Bank of Japan |
| Session ID 2: I5 Nonlinear and Machine Learning Methods in Finance June 22, 2015 8:00 to 9:30 Room 205 |
| Session Organizer: Germán Creamer, Stevens Institute of Technology |
| Session Chair: Paola Paiardini, University of Sussex |
| Estimating Financial Words' Negative-positive from Stock Prices |
| By Keiichi Goshima; Tokyo Institute of Technology Hiroshi Takahashi; Keio University Takao Terano; Tokyo Institute of Technology |
| Presented by: Keiichi Goshima, Tokyo Institute of Technology |
| Underpricing of Different IPO Pricing Mechanisms: An Agent-Based Artificial Market |
| By Tong Zhang; Southwestern University of Finance & Eco Jiejuan Li; Postal Savings Bank of China (Chengdu Branch) Yu Wu; Southwestern University of Finance & Eco |
| Presented by: Tong Zhang, Southwestern University of Finance & Eco |
| Optimal High-Frequency Trading with Financial Transaction Tax |
| By Edward Sun; BEM Management School Bordeaux |
| Presented by: Edward Sun, BEM Management School Bordeaux |
| Financial Sentiment Analysis in European Government Bond Markets |
| By Paola Paiardini; University of Sussex |
| Presented by: Paola Paiardini, University of Sussex |
| Session ID 66: I6 Asset Pricing and Portfolio Optimization: Optimal Strategies June 22, 2015 8:00 to 9:30 Room 101 |
| Session Organizer: Xue-Zhong He, University of Technology, Sydney |
| Session Chair: Yan Zeng, Sun Yat-sen University |
| Optimal Life Cycle Consumption, Portfolio Allocation, and Life Insurance, with Mandatory Savings |
| By Wei-Ting Pan; University of Technology, Sydney |
| Presented by: Wei-Ting Pan, University of Technology, Sydney |
| Regression-based Monte Carlo Methods for Stochastic Control Models: Variable Annuities with Lifelong Guarantees |
| By Yue Kuen Kwok; Department of Mathematics |
| Presented by: Yue Kuen Kwok, Department of Mathematics |
| Dual Representation of Value Function and Applications |
| By Harry Zheng; Imperial College |
| Presented by: Harry Zheng, Imperial College |
| Optimal Dividend Strategies in a Mean-reverting Model with Stochastic Time-preferences and Transaction Costs |
| By Shumin Chen; Guangdong University of Technology Zhongfei Li; Sun Yat-sen University Yan Zeng; Sun Yat-sen University |
| Presented by: Yan Zeng, Sun Yat-sen University |
| Session ID 53: I7 Agent-based Modeling III June 22, 2015 8:00 to 9:30 Room 103 |
| Session Organizer: Akira Namatame, National Defense Academy |
| Session Chair: Aki-Hiro Sato, Kyoto University |
| Investment Index Construction from Information Propagation Based on Transfer Entropy |
| By Fujio Toriumi; The University of Tokyo Kazuki Komura; The University of Tokyo |
| Presented by: Fujio Toriumi, The University of Tokyo |
| An Agent-based Model for Exploring Retweeting Behaviors on Twitter Social Network |
| By Chao Yang; Hunan University Bin Jiang; Hunan University Lei Wang; Hunan University |
| Presented by: Chao Yang, Hunan University |
| A Study on Education and Social Exclusion Using Agent Based Simulation Model |
| By Masatoshi Murakami; Hannan University Noriyuki Tanida; Kansai University |
| Presented by: Masatoshi Murakami, Hannan University |
| Local Network Effect and Competition Model |
| By Xiaoyun Xing; Beijing Normal University |
| Presented by: Xiaoyun Xing, Beijing Normal University |
| Session ID 24: I8 House Prices, Mortgage Debt, and Consumer Credit June 22, 2015 8:00 to 9:30 Conference Room |
| Session Organizer: Kevin Lansing, Federal Reserve Bank of San Francisco |
| Session Chair: Christoph Ungerer, Federal Reserve Board |
| Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach |
| By Paolo Gelain; Norges Bank Kevin Lansing; Federal Reserve Bank of San Francisco Gisle Natvik; Norges Bank |
| Presented by: Paolo Gelain, Norges Bank |
| Income Redistribution, Consumer Credit, and Keeping Up with the Riches |
| By Mathias Klein; Ruhr Graduate School in Economics Christopher Krause; TU Dortmund University |
| Presented by: Christopher Krause, TU Dortmund University |
| Housing, Mortgages, and Self Control |
| By Kathrin Schlafmann; Institute for International Economic Studies (IIES) |
| Presented by: Kathrin Schlafmann, Institute for International Economic Studies (IIES) |
| Monetary Policy, Hot Housing Markets and Leverage |
| By Christoph Ungerer; Federal Reserve Board |
| Presented by: Christoph Ungerer, Federal Reserve Board |
| Session ID 25: J1 Information Frictions and Monetary Policy June 22, 2015 11:00 to 12:30 Room 201 |
| Session Organizer: Kenneth Kasa, Simon Fraser University |
| Session Chair: Jun Nie, Federal Reserve Bank of Kansas City |
| Monetary Policy Rules Under Uncertainty and Learning |
| By Xiaohan Ma; The George Washington University |
| Presented by: Xiaohan Ma, The George Washington University |
| "Wait and See" Monetary Policy |
| [slides] |
| By Xiaowen Lei; Simon Fraser University |
| Presented by: Xiaowen Lei, Simon Fraser University |
| Information Frictions, Nominal Shocks, and the Role of Inventories in Price-Setting Decisions |
| By Camilo Morales-Jimenez; University of Maryland, College Park |
| Presented by: Camilo Morales-Jimenez, University of Maryland, College Park |
| What We Don't Know Doesn't Hurt Us: Rational Inattention and the Permanent Income Hypothesis in General Equilibrium |
| [slides] |
| By Yulei Luo; The University of Hong Kong Jun Nie; Federal Reserve Bank of Kansas City Gaowang Wang; Shandong University Eric Young; University of Virginia |
| Presented by: Jun Nie, Federal Reserve Bank of Kansas City |
| Session ID 72: J2 Labor Market and Business Cycle June 22, 2015 11:00 to 12:30 Room 202 |
| Session Organizer: Michel Juillard, Banque de France |
| Session Chair: Thuy Lan Nguyen, Santa Clara University |
| Endogenous Wage Indexation and Aggregate Shocks |
| By Julio Carrillo; Banco de Mexico Gert Peersman; Ghent University Joris Wauters; Ghent University |
| Presented by: Julio Carrillo, Banco de Mexico |
| Business Cycle Asymmetries and Slow Recoveries in Labor Markets |
| By Irina Panovska; Lehigh University |
| Presented by: Irina Panovska, Lehigh University |
| Understanding the Dynamics of the US Labor Share |
| By Jakub Growiec; Warsaw School of Economics & NBP Peter McAdam; European Central Bank Jakub Muck; Narodowy Bank Polski |
| Presented by: Jakub Muck, Narodowy Bank Polski |
| News Shocks and Business Cycle: Evidence from Forecast Data |
| By Wataru Miyamoto; Bank of Canada Thuy Lan Nguyen; Santa Clara University |
| Presented by: Thuy Lan Nguyen, Santa Clara University |
| Session ID 48: J3 Agent-based Models of Finance II June 22, 2015 11:00 to 12:30 Room 203 |
| Session Organizer: Cars Hommes, University of Amsterdam |
| Session Chair: Noemi Schmitt, University of Bamberg |
| Social Networked Boundedly-Rational Traders in Continuous Double Auction Markets |
| By Junhuan Zhang; King's College London |
| Presented by: Junhuan Zhang, King's College London |
| Dark Pool Usage and Individual Trading Performance |
| By Yibing Xiong; Tokyo Institute of Technology Takashi Yamada; Tokyo Institute of Technology Takao Terano; Tokyo Institute of Technology |
| Presented by: Yibing Xiong, Tokyo Institute of Technology |
| Influence of Inefficiency in Government Expenditure on the Multiplier of Public Investment |
| By Shigeaki Ogibayashi; Chiba Institute of Technology Kosei Takashima; Research Institute, Chiba Insitute of Technology |
| Presented by: Shigeaki Ogibayashi, Chiba Institute of Technology |
| Evolutionary competition, market stability and tax burden |
| By Noemi Schmitt; University of Bamberg Frank Westerhoff; University of Bamberg |
| Presented by: Noemi Schmitt, University of Bamberg |
| Session ID 62: J4 Monetary Policy II June 22, 2015 11:00 to 12:30 Room 204 |
| Session Organizer: Paul McNelis, Fordham University |
| Session Chair: Erin Wolcott, University of California, San Diego |
| The Time-varying Relationship of Expectations About Monetary Stimulus and Macroeconomic Variables |
| By Arne Halberstadt; Deutsche Bundesbank Leo Krippner; Reserve Bank of New Zealand |
| Presented by: Arne Halberstadt, Deutsche Bundesbank |
| Evaluating the Interplay of Term Premia, Monetary Policy, and the Economy in the Euro Area |
| By Fabian Herrmann; TU Dortmund University |
| Presented by: Fabian Herrmann, TU Dortmund University |
| Competitive Search over the Monetary Business Cycle |
| By Timothy Kam; Australian National University Junsang Lee; Sungkyunkwan University |
| Presented by: Timothy Kam, The Australian National University |
| Impact of Foreign Official Purchases of U.S Treasuries on the Yield Curve |
| By Erin Wolcott; University of California, San Diego |
| Presented by: Erin Wolcott, University of California, San Diego |
| Session ID 77: J5 Banks, Monetary Policy and Pass-Through June 22, 2015 11:00 to 12:30 Room 205 |
| Session Organizer: Robert Tetlow, Federal Reserve Board |
| Session Chair: Falk Mazelis, Humboldt University Berlin |
| Pass-through, Expectations, and Risks: What Affect Chilean Banks´ Interest Rates? |
| By Michael Pedersen; Central Bank of Chile |
| Presented by: Michael Pedersen, Central Bank of Chile |
| Country Spreads and Business Cycles in Emerging Economies: The Role of Cross-Border Banking and Global Liquidity |
| By Salih Fendoglu; Central Bank of the Republic of Turkey; Center for Economics and Econometrics, Bogazici University |
| Presented by: Salih Fendoglu, Central Bank of the Republic of Turkey; Center for Economics and Econometrics, Bogazici University |
| Risky Banks and Macroprudential Policy for Emerging Economies |
| By Gabriel Cuadra; Banco de México Victoria Nuguer; Banco de México |
| Presented by: Victoria Nuguer, Banco de México |
| The Role of Shadow Banking in the Monetary Transmission Channel |
| By Falk Mazelis; Humboldt University Berlin |
| Presented by: Falk Mazelis, Humboldt University Berlin |
| Session ID 67: J6 Asset Pricing and Portfolio Optimization: Market Stability and Liquidity June 22, 2015 11:00 to 12:30 Room 101 |
| Session Organizer: Xue-Zhong He, University of Technology, Sydney |
| Session Chair: Yu Tongkui, Southwest University of China |
| Debt and Financial Market Contagion |
| By Cody Yu-Ling Hsiao; The University of New South Wales James Morley; University of New South Wales |
| Presented by: Cody Yu-Ling Hsiao, The University of New South Wales |
| Capital Adequacy and Liquidity in Banking Dynamics |
| By Jin Cao; Norges Bank |
| Presented by: Jin Cao, Norges Bank |
| The Effects of Hormones on Financial Market Stability |
| By Subir Bose; University of Leicester Daniel Ladley; University of Leicester Xin Li; University of Leicester |
| Presented by: Xin Li, University of Leicester |
| Endogenous Formation of Interbank Credit Coalition |
| By Yu Tongkui; Southwest University of China Xue-Zhong He; University of Technology, Sydney |
| Presented by: Yu Tongkui, Southwest University of China |
| Session ID 57: J7 Indeterminacy and Stability June 22, 2015 11:00 to 12:30 Room 103 |
| Session Organizer: Been-Lon Chen, Academia Sinica |
| Session Chair: Jang-Ting Guo, University of California, Riverside |
| Progressive Income Taxes as an Automatic Stabilizer in a Two-sector Model with Social Constant Returns |
| By Yu-Shan Hsu; National Chung-Cheng University |
| Presented by: Yu-Shan Hsu, National Chung-Cheng University |
| Asset Price Targeting Government Spending and Equilibrium Indeterminacy in a Sticky-price Economy |
| By Kengo Nutahara; Senshu University |
| Presented by: Kengo Nutahara, Senshu University |
| Towards a New Keynesian Theory of the Price Level |
| [slides] |
| By John Barrdear; Bank of England |
| Presented by: John Barrdear, Bank of England |
| Progressive Taxation as an Automatic Destabilizer Under Endogenous Growth |
| [slides] |
| By Shu-Hua Chen; National Taipei University Jang-Ting Guo; University of California, Riverside |
| Presented by: Jang-Ting Guo, University of California, Riverside |
| Session ID 90: K1 Monetary Policy in Closed and Open Economies June 22, 2015 13:30 to 15:00 Room 201 |
| Session Organizer: Robert Tetlow, Federal Reserve Board |
| Session Chair: Timothy Kam, The Australian National University |
| External Shocks, Banks and Monetary Policy in an Open Economy |
| By Yasin Mimir; Central Bank of the Republic of Turkey Enes Sunel; Central Bank of the Republic of Turkey |
| Presented by: Enes Sunel, Central Bank of the Republic of Turkey |
| Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense? |
| By Davide Debortoli; Universitat Pompeu Fabra Jinill Kim; Korea University Jesper Linde; Sveriges Riksbank Ricardo Nunes; Federal Reserve Board |
| Presented by: Jinill Kim, Korea University |
| The Optimal Rate of Inflation Under Schumpeterian Growth |
| By Koki Oikawa; Waseda University Kozo Ueda; Waseda University |
| Presented by: Koki Oikawa, Waseda University |
| Sustainable International Monetary Policy Cooperation |
| By Ippei Fujiwara; Australian National University Timothy Kam; The Australian National University Takeki Sunakawa; Graduate School of Public Policy, the University of Tokyo |
| Presented by: Timothy Kam, The Australian National University |
| Session ID 73: K2 Empirical Macroeconomics II June 22, 2015 13:30 to 15:00 Room 202 |
| Session Organizer: Michel Juillard, Banque de France |
| Session Chair: Isaiah Hull, Sveriges Riksbank |
| The Aino model |
| By Fabio Verona; Bank of Finland Juha Kilponen; Bank of Finland |
| Presented by: Fabio Verona, Bank of Finland |
| Destabilising Effects of Bank Overleveraging on Real Activity: An Analysis Based on a Nonlinear Mixed-cross-section GVAR |
| By Marco Gross; ECB, Frankfurt Jerome Henry; ECB, Frankfurt Stefan Mittnik; Dept. of Statistics, University of Munich Willi Semmler; New School NY, University of Bielefeld |
| Presented by: Willi Semmler, New School NY, University of Bielefeld |
| The Impact of the Responsiveness of Monetary Policy on the Housing Market |
| By Lin Zhang; Henan University, School of Economics |
| Presented by: Lin Zhang, Henan University, School of Economics |
| What Broke First? Characterizing Sources of Structural Change Prior to the Great Recession |
| By Isaiah Hull; Sveriges Riksbank |
| Presented by: Isaiah Hull, Sveriges Riksbank |
| Session ID 80: K3 Computational Social Sciences June 22, 2015 13:30 to 15:00 Room 203 |
| Session Organizer: Shu-Heng Chen, National Chengchi University |
| Session Chair: Agam Gupta, Indian Institute of Management Calcutta |
| How Much Should We Worry About the Polarization Effect of Polarized News Media? Assessment with Agent-Based Simulation |
| By Frank Liu; National Sun Yat-sen University |
| Presented by: Frank Liu, National Sun Yat-sen University |
| Recent Advances in Quantum Social Science |
| By James Wang |
| Presented by: James Wang, |
| The Gameconomics: Inflation Matters? |
| [slides] |
| By Byungchul Park; KAIST Duk Hee Lee; KAIST |
| Presented by: Byungchul Park, KAIST |
| Towards an Agent Based Model of Sponsored Search Markets |
| By Agam Gupta; Indian Institute of Management Calcutta Biswatosh Saha; Indian Institute of Management Calcutta Uttam Sarkar; Indian Institute of Management Calcutta |
| Presented by: Agam Gupta, Indian Institute of Management Calcutta |
| Session ID 63: K4 Macrodynamic Models June 22, 2015 13:30 to 15:00 Room 204 |
| Session Organizer: Paul McNelis, Fordham University |
| Session Chair: Paul McNelis, Fordham University |
| China's Economic and Energy Policies Impact on Carbon Emissions Intensity |
| By Jinhe Jiang; Chinese Academy of Social Sciences |
| Presented by: Jinhe Jiang, Chinese Academy of Social Sciences |
| How to Evaluate Money Doctors Objectively: Money Doctors from the West Reconsidered |
| By Tai-kuang Ho; National Tsing Hua University |
| Presented by: Tai-kuang Ho, National Tsing Hua University |
| Welfare Implications of the Chinese Monetary Policy Reform: A Dynamic Stochastic General Equilibrium Approach |
| By Yu-Ning Hwang; National Chengchi University |
| Presented by: Yu-Ning Hwang, National Chengchi University |
| Finding Stability in a Time of Crisis: Lessons of East Asia for Eastern Europe |
| By Paul McNelis; Fordham University |
| Presented by: Paul McNelis, Fordham University |
| Session ID 93: K5 Computational Methods June 22, 2015 13:30 to 15:00 Room 205 |
| Session Organizer: Wei Zhang, Tianjin University |
| Session Chair: Hui Qu, Nanjing University |
| A New Approach to Measure Randomness and Heterogeneities of the Production System |
| By Yuji Aruka; Chuo University |
| Presented by: Yuji Aruka, Chuo University |
| Technical Trading Behavior: Evidence from Chinese Futures Market |
| [slides] |
| By Guanqing Liu; University of Leicester |
| Presented by: Guanqing Liu, University of Leicester |
| A Bacterial Foraging Optimization Approach for the Index Tracking Problem |
| By Hui Qu; Nanjing University Zixu Wang; Nanjing University Sunyu Xu; Nanjing University |
| Presented by: Hui Qu, Nanjing University |
| Session ID 68: K6 Asset Pricing and Portfolio Optimization: Empirical Asset Pricing June 22, 2015 13:30 to 15:00 Room 101 |
| Session Organizer: Xue-Zhong He, University of Technology, Sydney |
| Session Chair: Ruipeng Liu, Deakin University. |
| An Empirical Analysis of Stock Liquidity in Financial Bubbles in London Stock Exchange During 1996-2009 |
| By Tsung-Han Hsien; Queen's University Belfast Youwei Li; Queen's University Belfast Donal McKillop; Queens University Belfast |
| Presented by: Tsung-Han Hsien, Queen's University Belfast |
| The Effects of Grouping Stocks on Estimation and Tests in the Two-pass Cross-sectional Regressions of Asset Pricing |
| By Jen-Chih Kuo; Yuan Ze University |
| Presented by: Jen-Chih Kuo, Yuan Ze University |
| Idiosyncratic Risks, Normality and the Behavior of Hedge Funds in Crises |
| By Francois Desmoulins-Lebeault; Grenoble École de Management |
| Presented by: Francois Desmoulins-Lebeault, Grenoble École de Management |
| A Bivariate Multifractal Model, Its Estimation and Empirical Applications |
| By Ruipeng Liu; Deakin University. Thomas Lux; University of Kiel |
| Presented by: Ruipeng Liu, Deakin University. |
| Session ID 49: K7 Agent-based Models: Simulation, Calibration and Estimation June 22, 2015 13:30 to 15:00 Room 103 |
| Session Organizer: Thomas Lux, Kiel Institute for the World Economy |
| Session Chair: Zhenxi Chen, University of Kiel |
| Direct Calibration and Comparison of Financial Agent-based Models with Herding |
| By Sylvain Barde; University of Kent |
| Presented by: Sylvain Barde, University of Kent |
| A Multi-Agent Non-Stochastic Economic Simulator |
| By Ulrich Wolffgang |
| Presented by: Ulrich Wolffgang, |
| Non-Parametric Simulated ML Estimation of Heterogeneous Agent Models |
| By Jiri Kukacka; Institute of Information Theory and Auto Jozef Barunik; Institute of Economic Studies, Charles U |
| Presented by: Jiri Kukacka, Institute of Information Theory and Auto |
| Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach |
| By Zhenxi Chen; University of Kiel Thomas Lux; University of Kiel |
| Presented by: Zhenxi Chen, University of Kiel |
| # | Participant | Roles in Conference |
|---|---|---|
| 1 | Abbasoglu, Osman | P59 |
| 2 | Ahrens, Steffen | P54 |
| 3 | Ajello, Andrea | P14 |
| 4 | Akdogan, Kurmas | P76 |
| 5 | Akinaga, Toshiaki | P41 |
| 6 | Akiyama, Eizo | P40 |
| 7 | Alpanda, Sami | P94 |
| 8 | Alsuwailem, Sami | P91 |
| 9 | Anderson, Gary | C14, C16, P16, C15, C17, C18 |
| 10 | Anufriev, Mikhail | P45 |
| 11 | Arai, Natsuki | P26 |
| 12 | Aruka, Yuji | C51, P93 |
| 13 | Audzeyeva, Alena | P87 |
| 14 | Bai, Jinhui | C60, P60 |
| 15 | Bao, Te | P39 |
| 16 | Barde, Sylvain | P49 |
| 17 | Barrdear, John | P57 |
| 18 | Barunik, Jozef | C76, P76 |
| 19 | Baydur, Ismail | P28 |
| 20 | Bergholt, Drago | C82, P82 |
| 21 | Bertschinger, Nils | P89 |
| 22 | Beyer, Robert | P42 |
| 23 | Binning, Andrew | P70 |
| 24 | Bodenstein, Martin | P71 |
| 25 | Cantelmo, Alessandro | C83, P83 |
| 26 | Cao, Jin | P67 |
| 27 | Cardaci, Alberto | P32 |
| 28 | Carpio, Ronaldo | P69 |
| 29 | Carrillo, Julio | C27, P27, P72 |
| 30 | Castex, Gonzalo | P79 |
| 31 | Catalano, Michele | C43, P43 |
| 32 | Chan, Julian TszKin | P33 |
| 33 | Chang, Kuang-Liang | P86 |
| 34 | Chen, Been-Lon | P54 |
| 35 | Chen, Zhenxi | C49, P49 |
| 36 | Chen, Cen | P51 |
| 37 | Chen, Andrew | P89 |
| 38 | Chen, Shu-Hua | P56 |
| 39 | Chen, Qinghua | P38 |
| 40 | Cheong, Siew Ann | P35 |
| 41 | Chia, Wai Mun | P47 |
| 42 | Chie, Bin-Tzong | P40 |
| 43 | Clemens, Marius | C42, P42 |
| 44 | Colombo, Luca | P46 |
| 45 | Costain, James | P46 |
| 46 | Creamer, Germán | P91 |
| 47 | Cubas, German | C23, P23 |
| 48 | Cui, Xue | P91 |
| 49 | Da Fonseca, José | C86, P86 |
| 50 | De Pooter, Michiel | P74 |
| 51 | Deng, Kaihua | P18 |
| 52 | Dennis, Richard | C84, P84 |
| 53 | Desmoulins-Lebeault, Francois | P68 |
| 54 | Di Guilmi, Corrado | C88, P52 |
| 55 | Diaz, Carlos | P76 |
| 56 | Dmitriev, Alexandre | C85, P85 |
| 57 | Donayre, Luiggi | P61 |
| 58 | Drechsel, Dirk | P75 |
| 59 | Du, Ye-Rong | P39 |
| 60 | Duineveld, Sijmen | P43 |
| 61 | Dumitru, Ana-Maria H. | P75 |
| 62 | Duras, Jan | C28, P28 |
| 63 | Ekapirak, Tanyasorn | P59 |
| 64 | Estola, Matti | P38 |
| 65 | Fang, Lei | C54, P54 |
| 66 | Feigenbaum, James | P23 |
| 67 | Fendoglu, Salih | P77 |
| 68 | Fiori, Giuseppe | P82 |
| 69 | Fisar, Milos | P41 |
| 70 | Foerster, Andrew | P28 |
| 71 | Furlanetto, Francesco | P81 |
| 72 | Galaasen, Sigurd Mølster | C91, P91 |
| 73 | Garin, Julio | P56 |
| 74 | Gelain, Paolo | P24 |
| 75 | Georges, Christophre | C44, P44 |
| 76 | Gibson, John | P61 |
| 77 | Gobbi, Alessandro | P27 |
| 78 | Goldbaum, David | C33, P33 |
| 79 | Goshima, Keiichi | P2 |
| 80 | Gouri Suresh, Shyam | P79 |
| 81 | Grazzini, Jakob | P43 |
| 82 | Groll, Dominik | P27 |
| 83 | Growiec, Jakub | P23 |
| 84 | Gulan, Adam | P85 |
| 85 | Guo, Jang-Ting | C57, P57 |
| 86 | Gupta, Agam | C80, P80 |
| 87 | Gupta, Sargam | P71 |
| 88 | Halberstadt, Arne | P62 |
| 89 | Harting, Philipp | P79 |
| 90 | Havranek, Tomas | P31 |
| 91 | Herrmann, Fabian | P62 |
| 92 | Hiraki, Kazuhiro | C61, P61 |
| 93 | Hiroatsu, Tanaka | P22 |
| 94 | Ho, Tai-kuang | P63 |
| 95 | Hoerdahl, Peter | P64 |
| 96 | Holden, Tom | P85 |
| 97 | Hommes, Cars | C45, P45 |
| 98 | Hsiao, Cody Yu-Ling | P67 |
| 99 | Hsien, Tsung-Han | P68 |
| 100 | Hsu, Yu-Shan | P57 |
| 101 | Huang, Meichi | P58 |
| 102 | Huang, Zichun | P88 |
| 103 | Hull, Isaiah | C73, P73 |
| 104 | Hwang, Yu-Ning | P63 |
| 105 | Iiboshi, Hirokuni | P30, C30 |
| 106 | Jiang, Jinhe | P63 |
| 107 | Jiang, Wei | P23 |
| 108 | Jo, Soojin | P26 |
| 109 | Juillard, Michel | P16 |
| 110 | Kam, Timothy | P62, C90, P90 |
| 111 | Kang, Boda | P92 |
| 112 | Kao, Ying-Fang | C50, P50 |
| 113 | Karibzhanov, Iskander | C21, P21 |
| 114 | Khalil, Makram | P42 |
| 115 | Kijima, Masaaki | C89, P89 |
| 116 | Kim, Jinill | P90 |
| 117 | Kirkby, Robert | P78 |
| 118 | Kociecki, Andrzej | C75, P75 |
| 119 | Krause, Christopher | P24 |
| 120 | Krawczyk, Jacek | P60 |
| 121 | Kristoufek, Ladislav | P37, C35 |
| 122 | Kukacka, Jiri | P49 |
| 123 | Kuo, Jen-Chih | P68 |
| 124 | Kwok, Yue Kuen | P66 |
| 125 | Lai, Chih-Fang | P55 |
| 126 | Lamba, Harbir | P52 |
| 127 | Lambertini, Luisa | P83 |
| 128 | Lauf, Thomas | P32 |
| 129 | Lauretta, Eliana | P32 |
| 130 | LeBaron, Blake | C47, P47 |
| 131 | Lebesmuehlbacher, Thomas | P94 |
| 132 | Lee, Daeyup | P14 |
| 133 | Lee, Seohyun | P26 |
| 134 | Lee, Jae Woo | C34, P37 |
| 135 | Lee, Jisang | P31 |
| 136 | Lei, Xiaowen | P25 |
| 137 | Levine, Paul | P17 |
| 138 | Lewis, Logan | C31, P31 |
| 139 | Li, Mengling | P65 |
| 140 | Li, Honggang | P37, C36 |
| 141 | Li, Kai | C46, P46 |
| 142 | Li, Xin | P67 |
| 143 | Lim, Guay | P60 |
| 144 | Lin, Hungwen | P18 |
| 145 | Lin, Li | P34 |
| 146 | Lin, Hwan C. | P15 |
| 147 | Lind, Nelson | P22 |
| 148 | Liu, Guanqing | P93 |
| 149 | Liu, Ruipeng | C68, P68 |
| 150 | Liu, Ding | P55 |
| 151 | Liu, Frank | P80 |
| 152 | Lopez-Martin, Bernabe | P59 |
| 153 | Lubik, Thomas | P30 |
| 154 | Luo, Xiaolin | P92 |
| 155 | Ma, Xiaohan | P25 |
| 156 | Ma, Wen-Jong | P38 |
| 157 | Ma, Ho Fai | P36 |
| 158 | Maih, Junior | P15 |
| 159 | Maliar, Serguei | C71, P71 |
| 160 | Maliar, Lilia | P16 |
| 161 | Mandelman, Federico | P81 |
| 162 | Matthaiou, Maria | P35 |
| 163 | Mazelis, Falk | C77, P77 |
| 164 | McCallum, Andrew | P17 |
| 165 | McCrorie, Roderick | C70, P70 |
| 166 | McNelis, Paul | C63, P63 |
| 167 | Meisser, Luzius | P44 |
| 168 | Meyer-Gohde, Alexander | P69 |
| 169 | Miwa, Kotaro | P47 |
| 170 | Miyamoto, Wataru | P29 |
| 171 | Miyazaki, Koichi | C59, P59 |
| 172 | Mizuno, Takayuki | P34 |
| 173 | Moldovan, Ioana | C81, P81 |
| 174 | Morales-Jimenez, Camilo | P25 |
| 175 | Muck, Jakub | P72 |
| 176 | Munkacsi, Zsuzsa | P42 |
| 177 | Munro, Anella | P21 |
| 178 | Murakami, Masatoshi | P53 |
| 179 | Namatame, Akira | P51, C52 |
| 180 | Nava, Noemi | P37 |
| 181 | Ng, Kok Haur | P87 |
| 182 | Nguyen, Thuy Lan | C72, P72 |
| 183 | Nie, Jun | C25, P25 |
| 184 | Nuguer, Victoria | P84, P77 |
| 185 | Nutahara, Kengo | P57 |
| 186 | Oet, Mikhail | P14, P43 |
| 187 | Ogibayashi, Shigeaki | P48 |
| 188 | Oikawa, Koki | P90 |
| 189 | Paddrik, Mark | P52 |
| 190 | Paiardini, Paola | C2, P2 |
| 191 | Palit, Imon | P88 |
| 192 | Palmer, Samuel | P15 |
| 193 | Palmer, Nathan | P17 |
| 194 | Pan, Wei | P38 |
| 195 | Pan, Wei-Ting | P66 |
| 196 | Panchenko, Valentyn | P33 |
| 197 | Panovska, Irina | P72 |
| 198 | Park, Byungchul | P80 |
| 199 | Park, Woong Yong | P29 |
| 200 | Pedersen, Michael | P83, P77 |
| 201 | Penalver, Adrian | P84 |
| 202 | Peng, Tao | P58 |
| 203 | Peterman, William | C56, P56 |
| 204 | Pfajfar, Damjan | C94, P94 |
| 205 | Pfeiffer, Philipp | P21 |
| 206 | Phillips, Kerk L. | P61 |
| 207 | Pradhan, Rudra | P87 |
| 208 | Pröhl, Elisabeth | P17 |
| 209 | Purwono, Yogo | P70 |
| 210 | Qu, Hui | P93, C93 |
| 211 | Raddant, Matthias | P88 |
| 212 | Ravazzolo, Francesco | C74, P74 |
| 213 | Rege, Sameer | P44 |
| 214 | Ren, Fei | P35, C38 |
| 215 | Riegler, Markus | P54 |
| 216 | Rozsypal, Filip | C58, P58 |
| 217 | Ruiz-Buforn, Alba | C40, P40 |
| 218 | Sager, Erick | P69 |
| 219 | Salle, Isabelle | P44, P45 |
| 220 | Sarantitis, Georgios | P34 |
| 221 | Sarferaz, Samad | P30 |
| 222 | Sato, Aki-Hiro | P52, C53 |
| 223 | Savagar, Anthony | P94 |
| 224 | Schlafmann, Kathrin | P24 |
| 225 | Schmitt, Noemi | C48, P48 |
| 226 | Semmler, Willi | P73 |
| 227 | Seneca, Martin | P82 |
| 228 | Sengul, Gonul | P28 |
| 229 | Seok, Byoung Hoon | P58 |
| 230 | Shen, Dehua | P35 |
| 231 | Shi, Lei | C65, P65 |
| 232 | Shibata, Takashi | P89 |
| 233 | Singh, Aarti | C22, P22 |
| 234 | Stathakis, Efthymios | P18 |
| 235 | Su, Hsuan-Li | P56 |
| 236 | Sun, Edward | P2 |
| 237 | Sun, Rongrong | P71 |
| 238 | Sunel, Enes | P90 |
| 239 | Tai, Chung-Ching | P45 |
| 240 | Takahashi, Shuhei | C55, P55 |
| 241 | Tasci, Murat | P70 |
| 242 | Throckmorton, Nathaniel | C26, P26 |
| 243 | Tongkui, Yu | C67, P67 |
| 244 | Torii, Takuma | P86 |
| 245 | Toriumi, Fujio | P53 |
| 246 | Tracy, William | C39, P39 |
| 247 | Tsao, Chueh-Yung | P65 |
| 248 | Tungsong, Sachapon | P75 |
| 249 | Turnovsky, Stephen | P60 |
| 250 | Ueda, Kozo | P83 |
| 251 | Ungerer, Christoph | C24, P24 |
| 252 | Vacha, Lukas | P76 |
| 253 | Venkatachalam, Ragupathy | P51 |
| 254 | Vermeylen, Koen | P16 |
| 255 | Verona, Fabio | P73 |
| 256 | Volkan, Engin | P14 |
| 257 | Wang, Yuwei | C92, P92 |
| 258 | Wang, Guocheng | P50 |
| 259 | Wang, Ashley | P86 |
| 260 | Wang, James | P80 |
| 261 | Wang, Gang-Jin | P34 |
| 262 | Wang, Yanyi | P50 |
| 263 | Wang, QianQian | P21 |
| 264 | Wang, Connie | P50 |
| 265 | Wang, Hsin-Mien | P78 |
| 266 | Wei, Mengyang | P51 |
| 267 | Westermark, Andreas | P81 |
| 268 | Wolcott, Erin | C62, P62 |
| 269 | Wolffgang, Ulrich | P49 |
| 270 | Wong, Benjamin | P27 |
| 271 | Wong, Yuet-Yee Linda | C87, P87 |
| 272 | Wu, Jie | C79, P79 |
| 273 | Xing, Xiaoyun | P53 |
| 274 | Xiong, Yibing | P48 |
| 275 | Xu, Hai-Chuan | P36 |
| 276 | Yamamoto, Ryuichi | P32, C32 |
| 277 | Yang, Lian-Sheng | P33 |
| 278 | Yang, Chao | P53 |
| 279 | Yau, Ruey | C29, P29 |
| 280 | Yeh, Chia-Hsuan | C64, P64 |
| 281 | Yepez, Carlos | P85 |
| 282 | Yim, Kyubin | P64 |
| 283 | Yu, Hsin-Jung | P55 |
| 284 | Zadrozny, Peter | C69, C78, P78 |
| 285 | Zeng, Yan | C66, P66 |
| 286 | Zhang, Tong | P2 |
| 287 | Zhang, Junhuan | P48 |
| 288 | Zhang, Xin | P74 |
| 289 | Zhang, Yangrui | P36 |
| 290 | Zhang, Yu | P47 |
| 291 | Zhang, Lin | P73 |
| 292 | Zheng, Tianxiao | P29 |
| 293 | Zheng, Min | P65 |
| 294 | Zheng, Xiaolian | P18 |
| 295 | Zheng, Harry | P66 |
| 296 | Zhou, Wei-Xing | C37, P36 |
| 297 | Zhou, Xuan | P64 |
| 298 | Zhou, Chen | P74 |
| 299 | Zhou, Yan | C41, P41 |
| 300 | Zhu, Mei | P46 |
| 301 | Zhukova, Aleksandra | P92 |
| 302 | Zilberman, Roy | P22 |
This program was last updated on 2015-06-18 10:10:27 EDT